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.