There are two ways. You can create a Sub-Group when you initially create your Group or you can do it later.
1. If you are creating a Sub-Group when you initially create your Group go to Accounts > Groups
Click (+) Create Group
Type your Sub Group(s) and use ";" as a separator for multiple Sub Groups and click Save.
2. If you already have a Group created and want to add a Sub Group, go to LMS > Groups.
Click Sub Groups for the appropriate Group.
Click (+) Create SubGroup
Type in your Sub-Group Name and click Save or Save and Assign Trainees
Related Articles: What is a Group? How do I create a Group?