Select all the video and audio events you wish to group.
Right Click->Event Grouping->Create New
This is how it works in Vegas Pro. It may be labeled slightly different in VMS.
Don't forget to create a new version of your project from time to time by doing a Save As. Add a number to the end of the project name and increase it each time you do a Save As. This way if you do screw something up, you have an earlier version of the project to fall back on without losing everthing.