To create a group, hold your Milo close to your friend's Milo. Then, simultaneously, you both connect your Milos by holding the side button until the Milos tell you you're connected.
Anyone already in the group can add another Milo to the group by the same method. Because the Milos need to be near each other and both people need to hold the side button at the same time, there is no risk of unknown Milos joining your group.