An icon set is a group of icons that share the same topic, category, style etc.
A collection is a group of icon sets that have something in common like format, style, topic.
From your dashboard, go to "Manage icons" from the left side menu, as in the screenshot below.
Here, you will find a listing of all your icons approved and on sale on Iconfinder. Notice the 2 buttons "New collection" and "New icon set" on the top right corner of this page.
To create a new collection, just click on the "New collection" button and fill in the blanks with the collection details. Add a name, description and order of appearance for the new collection.
Once created, the collection will appear at the bottom of the list and will be empty. The "Sort Index" field sets the order of appearance of the collection on your seller page.
In order to add icon sets to this collection, you will need to go to the icon set, click on the "Edit details" button as in the image below and choose the newly created collection from the dropdown list.
In case you want to remove a collection, just click on the "Delete" button under the "Manage icons" tab from your dashboard. The same applies to icon sets.
To create a new icon set, click on the "New icon set" button from the "Manage icons" tab from your dashboard. You will be redirected to the page below. Please follow the process described here for uploading new icon sets.