You can create a new Group and its Location Memberships altogether at the same time. Access it from the Groups grid → CREATE NEW GROUP WITH MEMBERSHIPS:
Fill in the information about the new Group, as well as the details on Group-Location memberships.
The Location(s) drop down within this page allows you to select multiple Locations. All Location-Group Membership values entered here will be applied to all selected Locations. You can add new locations from the left column, as well as take away existing locations from the right column.
Once all required locations have been selected, click ‘CONFIRM’.