When you click on the "Watch this deviant" link this little pop-up appears. There you can select what of the deviant you want to be notified of (notice the separation of News and Journals!) and in which group you want to put them. (Creating groups still belongs in the "Manage Friends" page.)Disclaimer: this idea isn't totally new, it has been proposed in the Suggestion forum before, and I even made a similar mock-up a while ago and posted it in the forums as well. I re-did it now to match the dA v6 design.
This deviation may take part in the ARTicul8! Contest
It is a winner
Finally, it is now a reality