You have to create a group in Address Book on your Mac or Windows Contacts on Windows. Then, in iTunes, just sync your Address Book to your iPhone and you have groups!
Im on Windows 7 but dont use any Windows Applications to sync my Contacts i only have them on my phone and iCloud. Cant it be done otherwise? Is this going to change on ios6?
make sure the bookmark ribbon is on the right side on the icloud website you should see something saying "all contacts" then click on the + on the bottom on the left page. Create you group then you can drag the people over you want in each group.