You can right click in the Object Tree window to create a new group and then drag objects into this group. This has limited usefulness, however, since it really does nothing except change the display (you can't export or delete objects as groups, for example).
Also, as an alternative to creating a list, you can make any object the vehicle of another object so that commands acting on the parent object will also act on that object. Objects with this type of relationship, however, don't automatically copy or export together - this can give you real problems if you try to copy blocks of code.
Finally, the only way to add a hierarchial object is to import the sub-objects in .ase format (see
http://www.alice.org/community/showthread.php?t=570 ). If you try to export and re-import in .a2c format to make a different hierarchial grouping of Alice objects, it doesn't work. All of the .a2c objects go right to the top level of the Object Tree hierarchy.