If you just want to pick one light as the master light, you don’t have to do anything. Turning the master light on or off will also turn on or off all the other lights that are following it.
If You want to actually make a separate thing tile for the group, you can do that by using a virtual switch as the master.
That’s in the wiki article but it’s sort of buried because it’s in the section on how to put lights into more than one group.
As the wiki article explains, all of that just gives you the ability to turn the lights on and off. It also has links to smart apps which can do more, like have them dim together or even change colors are set scenes. That’s in the advanced features towards the end of the wiki article.