You can have twelve groups at the same time using all function keys from F1 to F12.

To create a group, make your selection then press CTRL + FKEY.
To use a group, press FKEY after group creation.
To erase a group without resetting, have nothing selected and press CTRL + FKEY.

This is especially important mid-game, when s h i t hits the fan and you need to command your gang to key positions and acting quickly when hostile foremen going nuts taking over your buildings.