Robert,
If it suits your workflow then you can multiple select the separate items in the Browser window and then use the Modify menu > Merge Clips option to create a single merged clip item that you can then use in your edit …that might beget you where you’re heading
But if you are trying to simply group a number of items in a sequence together so that you can move them around as if they were a single grouped object well then I am afraid you are out of luck as FCP has no such command (mores the pity) … the closest you can get to that is by “nesting” the selection (Sequence menu > Nest Items) which will collapse the items into their own separate sequence and you then use that sub sequence as a virtual clip item within your master sequence. Works well enough but there’s no similarly easy way to ungroup or un-nest after the fact.
Bets
Andy