Login to web gui
Click on Volume Settings
Click on the Affinity Group you want to change and then click edit
Enter the volume number(s) you wish to add and the name
Click set
Creating an affinity group can be done on the same volume settings page by clicking on affinity group and then create. You can add the volumes to a new Affinity group if need be.
Posting this in case someone else needs a quick find to the steps.