Instructions
Enter the Roblox studio. Locate the file button row -- just under the menu bar. There are two buttons on it that look like two tiny squares, one over the other. The first is the group button, and the second is the ungroup button.
Click on each of the objects you want to group. While they are highlighted, select the "Group" button on the file button row to group them together. Now they are grouped and can be moved as a single unit. You can also group objects by selecting them and pressing "Control" + "G" on your keyboard.
Separate grouped items by selecting the group and pressing the "Ungroup" button, which is right next to the "Group" button on the file button row. You can also press "Control" + "U" to ungroup objects.