On Developer-Tab should be a menu-item "Behaviour".
For the group:
In the dialog you can check a checkbox that the group shall accept other shapes to the group.
For the shapes, that shall be added to a group:
In the dialog you can check a checkbox that the shape shall be added to a group.
I don't have an English version of Visio, so I don't know the english menu names. Hope you find it nevertheless.