As Benjamin said, you can use createObject webmethod.
PS : I'M using a french version so maybe i'll not translate everything correctly when i talk about the UI.
1 - Use the "call SOAP method" operator.
2 - Use the WSLD wizard
3 - Enter your WSDL url
4 - select your webmethod
5 - bind the dynamic parameters to your variables (SID = session ID, obtained from your login / objectType = "GRP" in your case if you want to create a group / attrs = attribute to be returned after the creation / attrVals = Attribute to set.
PS : Since everything is sent to SDM via XML, you need to use <string></string> when building your key/value for setting the attribute.
Example : Process.attrVals = "<string>last_name</string><string>My New Group</string><string>supervisor_contact_uuid</string><string>XXXXXXXXXXXXXXXX</string>
6 - No matter wich attribute you specified for the "attrs" variable, createObject always return newHandle (it's the persistend_id of your freshly created object! ) (persid = object : ID or UUID, so since the contact/group are using UUID as a unique identifier and the group object name is GRP, newHandle should looks like : grp:E1FD3456EABC346E. Keep it somewhere, if you are creating group, pretty sure you will add member to this group right after!
6.1 - To get the newHandle from the return, you need to check the checkbox "Extract SOAP response bodyto a variable" in the Call results section. Click "Add" at the bottom of the Call results section, and as the XPath expression write : //newHandle, and as the Dataset variable : specify your variable in wich you want the returned persid.
7 - If you want to add member to this group, you can use the createObject webMethod and create "grpmem" object. You will need group persid and contact persid to create a grpmem object. So you will need doSelect method to get the contact persid.
Ok, pretty sure i wrote way to much, and you will probably not understand everything. But try it, and everything will start to make sense as your learn!