Usually, you won't need to create conversations yourself: each group comes with an Everyone conversation, and private conversations are created with each of your students as they join your group. To keep things simple, you can only have one private conversation with each person in the group.
However, if you want to create groups for peer feedback, you can! Open the group, then tap "New conversation":
This will open the screen for creating a new conversation. You can choose to give your conversation a title (this is optional):
Next, select the students you want to add to the conversation. You can search for a name (#1 in the screenshot below) or tap to select a student (#2 in below). Selected students will have a green check beside their name:
If you've selected a lot of students, and want to see who you're adding to the conversation, tap the slider next to "Only show selected user(s):
You can tap a student's name again to un-select it.
When you've selected all the students you want in the conversation, tap the check mark at the top right of the screen:
Your new conversation will be listed at the top of your conversations list:
Congratulations, you've created a new multi-person conversation! You can create as many multi-person conversations as you like.