Creating a Contact Group

Right click on a recipient in the message header in the Reading Pane.
From the context menu that pops-up, choose; Select All
Now that all the recipients are highlighted, press CTRL+C to copy them or right click on the selected addresses and choose Copy.
Open your Contact Group or create a new one via;
New Items-> More Items-> Contact Group
(or use the keyboard shortcut CTRL+SHIFT+L)
Press the “Add Members” button and select “From Address Book”.
Place your cursor in the field next to the “Members->” button.
Press CTRL+V to paste the copied addresses.
Press OK and the addresses will be added to the Contact Group.