1. Go to the loco list
2. Select the "+" sign to add a new loco
3. Select "Create M.U. Set" (M.U. for Multiple Unit) (Neue Traktion anlegen, German)
4. Select the desired locos from the list and add them using the "+" button. You can remove them using the "-" button. You can also give your MU a name here.
5. When done, accept your changes.

Your M.U. will now appear as a loco in the loco list.

A word of advise: You need to make sure that the locos you put in a MU run well together.

I usually recommend only connecting locos that have the same decoder and the same type of motor. With newer decoders you can usually adjust the speed curve so they will run together. This can take some time to do, but is well worth the effort. Older decoders do not have adjustable speed curves, so I am not sure what to do here other than hope that it works well. Perhaps somebody in here has some tips.

The easiest way of determining if two locos will run well together is to put them in an MU, then put them on a circle of track and start them (without having them coupled together). If one loco runs faster than the other, then you need to adjust one of them. You do this for each speed step in the speed curve until they run at the same speed at every speed step.

Depending on which decoders your locos have, adjusting the speed curve is done either using CV values (usually DCC decoders) or using the graphical speed curve (mfx). If you have LokPilot and a LokProgrammer, you can also adjust the speedcurve using the LokProgrammer software. With MFX just use the CS2 graphical curve.