How Can I Create An Approval Group?

Navigate to Approval Groups by clicking on Approval > Approval Policies > Approval Groups as shown in red in the screenshot below.

To Create an Approval Group click on "Actions" > Add Approval Group > Write the name of the approval group > Select the users you want to add to this group as shown in the screenshot below > Click on Create

Now you will be able to assign this group to the Approval Policies.