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It's in the user guide
"Quickly group multiple items into a new folder
You can quickly create a folder of items on the desktop or in a Finder window.
On your Mac, select all the items you want to group together.
Control-click one of the selected items, then choose New Folder with Selection.
Enter a name for the folder, then press Return."
https://support.apple.com/guide/mac-help/mh26885/
 
User Guide? There's a User Guide?? 😵😉

Nobody remembers that there's a User Guide online. That excerpt is one of the rare instances that a User Guide tells you how to do something instead of just that you can.
 
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