Start by adding an icon to Collections by clicking the Add to collection button on the icon page.
Next, click on Create new collection:
Give a name to the new collection and set its privacy. A private collection will only be visible to you. A shared collection will be accessible to your team members on Iconfinder. Read more about Team plans.
When you are done, click on Create collection.
All your collections can be found here and also can be accessed by clicking on the Bookmark icon on the top bar.
Read about How to delete a collection.