A new Alexa user here.
I am hoping to create something like “Sleep mode” where if I say “Alexa, turn on sleep mode” it would turn off the living room lights AND turn on the bedroom night light.
However, the only way I’ve found is grouping them, but then it just turns them all on or off.
Any help is appreciated!
You can do this with routines and/or scenes.
You could define a virtual switch in ST called something like Sleep Mode.
Then using something like webCoRE, use this device to turn off/on the lights you wish to define to it.
Then in Alexa say, "Alexa, Turn on Sleep mode. That should turn the virtual switch on and through webCoRE turn on/off lights as required.
Just one way of doing it.
EDIT: Or scenes as has been said above. 
There are both smartthings “routines” and Alexa “routines.” They work a little differently from each other, but either could solve this problem.
If you only need it to work with echo, don’t use an echo group, use an echo routine.
If you also wanted to use the same settings separately in SmartThings, you can use a SmartThings routine if you just want on/off , or I believe you can use a smartThings scene. Then you can have echo initiate that SmartThings routine.
You won’t need to use virtual switches unless you include something other than lighting devices, but if you do want to have a routine that also, say, locks the door or sets the alarm status, then you would use the virtual switch method.
So lots of different ways to do it , it just depends on the exact details. 
I have a momentary virtual switch called ‘night mode’
This switch turns on a routine…
This routine turns off my tv, all downstairs lights except the hall/landing and a couple of sockets that have kitchen floor lighting connected. It also turns on a couple of bedroom lights.
I have a ‘scene’ which turns the hall landing lights on at 25% so I can walk upstairs safely
(Turned off by an app I wrote after 1 minute - you could do that with smart lighting)
It also turns on a smartthings ‘mode’ called night.
When going to bed, I just tell alexa to ‘turn on night mode’
All lights go off, tv goes off, bedroom lights come on and hall lights come on at 25% for one minute.
This has worked perfectly for a number of months.
Andy