Select the Font Library under Local Libraries and choose File > New Set. You can also click the New Set button in the toolbar.
Connect Fonts creates a new set named Untitled Set. Enter a name for your new set (like “My Project”) and press Enter.
To add fonts to your set, click Font Library to see all of your fonts. You can drag one or more fonts onto the set to add them. To see what fonts are in the set, click the set in the left-hand panel.
Next: Activating fonts in the Connect Fonts Desktop application