Re: iOS 6
You can't directly creat groups to message with the iPhone, as far as I know. You can, however, start a new message group from the messages app. Just create a new message and add all the desires participants to that message. Then, when anyone sends a message in that group, it will go out to all group members. This is the best way I've found to do this.
Tappin and Talkin from my iPhone 5