1. Open an existing challenge/course.
2. Inside the Detail tab click on Show Advanced Options.
3. Scroll Down to where you See Select Group and click on Create New Group.
4. Add a Group Name and Priority (the higher the number the farther in the list it will appear and the lower the number the more closer it will be to the top Ex: In the image below Winter Training would have the highest number).
5. Save the challenge as part of that group and it will be grouped into the section like the image below inside the dashboard.