There is no such feature as such - i.e. you can't just tell objects to group together. HOWEVER, *some* objects have 'attachment points' coded into them which sort of allows you to do this (although only at prescribed positions). You can use this by selecting the object you want to attach, click Attach to Object, then click the object you want to attach it to. Such objects would be things like signs.
Whistlehead made a mini roundabout object, you can attach Road-Hog123's arrows to it.