To create a new customer group, go to the customer edit page and change their group name. There will be a list of the current customer groups at the bottom.

The default group is Retail and is shown in the list.

To add a price for a customer group, go to edit the product, at the bottom there will be a list of the current customer groups. Make sure the check box is checked and type in the price, that's it. If you want to remove the price, just uncheck the check box and it will remove it.