Grouping keeps two or more objects bound together with a bounding box. This makes it easier to move more than one object at a time and keeps objects with many sub-parts together.

Some people use it excessively. Technically, every new drawn part should be on it's own layer and converted into a symbol for file and production efficiency.

Grouping is not a substitute for making symbols.

Do not group to tween, make symbols to tween, grouping is less efficient and will require changing many many frames by hand if changes need to be made (and they always do).

To group, select Modify>Group

To un-group, select Modify>Un-group

Double click a grouped object to edit its parts and get to the shapes inside.