How do I create a contact group on my iPhone

You can't create contact groups with default contacts app on the iPhone. If you're using iCloud Contacts, what you can do is go on a computer / iPad and visit https://www.icloud.com/contacts/ to manage your contacts / create a new contact group.

Hi,

I'm not aware of how to do this directly on your phone, however if you're able to access a computer here's how it can be done:

https://support.apple.com/en-au/guide/contacts/adrb3280fe91/mac

There is no such feature on Contacts App. Please use third party apps. Many are available on App Store.