To create a Collection, go to the 'Collections' widget in the Dashboard and click the 'New' button in the top right corner:
This brings you to a page where you will create a new Collection:
You can give your Collection a name (this will make it easier to find later). A Collection is your own workbook of selected styles and colors from a base catalog. Select the base catalog you would like to work in and click 'Create'. This will open up the Collections Builder and you can start building your assortment.