To create a new twitter list, first of all ensure you are on the dashboard.
Once on the dashboard, use the "Manage Twitter Lists" button just above the columns.
Click "New Twitter List"
Choose the account that the list is attached to, give it a name and description also. Choose whether the list is private or public. If it is public, the twitter accounts will be notified that they have been added to a group. Once you are happy with the group, click "create".
Click on the name of your group in the list
Click "manage list members"
Click "add members"
Search for a phrase or a particular twitter account and click "search"
Find the accounts you are looking for and click "add" next to them to add them to the list.
Once you are happy with the accounts added, click the little x on the top right of the pop up box and keep doing so until you see the dashboard again.