Select the weapons you want in your group by clicking on them in the bottom right HUD. Green means they're selected. Once you have done that you need to press your 'Asign Weapon Group X' key where X is the number of the weapon group you want to assign. I dont think there is a default key for this - i usually use 'SHIFT + X' to assign a weapon group and then change the numbers so that instead of 'Fire weapon X' they are 'Select Weapon Group X' - assign them in the controls menu.

Once you have assigned them you can easily switch between them. Watch out tho 'cause it tends to forget the weapons groups every now and then and you have to reassign them.