For some reason, selecting several address book cards and trying to make a new group from the selection doesn't work. The New Group from Selection menu command is grayed out. I've seen this on more than one Snow Leopard Mac.
yet another bug in snow leopard address book. file a bug report https://bugreport.apple.com you'll need to get a free ADC membership to file it if you don't have one already. there is a link to it from the bug reporter page.