1) Select a prop by clicking on it, then hold SHIFT and click on another prop. In this case, a magnifying glass is selected and has an active box around it.
2) Hold SHIFT and select another prop; alternatively, drag your cursor around multiple props in a scene to select them.
3) Right click or CTRL+CLICK on the selected prop to open a menu - select Group to group all selected props.
4) To ungroup props, follow the same directions and select Ungroup instead.
Please note that assets must not have any effects prior to grouping. This can prevent additional effects from being added to a group.