1) Go to “Direct Messages” (Your profile picture or initials in the top left corner), click floating action button (FAB) with a big plus sign, then click "New group DM"
2) Give the group DM a name, and add a picture if you'd like
3) Select the people you would like to be a part of this new group DM. Note: the list that is populated here under "Select Members" is a list of anyone you are in a DM or space with in Volley. If the person you want to chat with is not already on Volley or not in that list, hit the "Skip button, select this group DM from your list of DMs, click "Invite" in the top-right corner, click "Copy", and then send the link to the correct people.
For more information about how to share Volley with others, read this linked article.