Groups are managed on a separate page in the Jobs module. Go to Jobs and click the 3-dot icon on the top right of the page. Select Manage Groups. You can create up to three levels of groups (group>sub-group>sub-group). Point to a group, click the 3-dot icon , and select Move to change its parent group.
Once you're happy with the structure, return to the main Jobs page. Select jobs, click Actions, and select Move. In the window that opens, you can select a different group to store the selected jobs.