First, select a group of images that should be put into a setup (hold control/cmd and click to select multiple images.) In the example below, the first five images have been selected and are ready to move:
Then, from the Actions menu or the Image Inspector on the right side of your window, choose Move.
An overlay window will appear. Click in the New option, put in the name of the setup and click Move Images. (Keep in mind that more photos can be added to an already created setup by choosing the setup name next to the Existing Setup option.)
Repeat these steps for each subsequent group of pictures. After creating the second setup, the Setups drop down will appear in the project.