There are two ways of adding clips to a collection: by assigning or drag&drop.

Option 1: assigning 

In the library, hover over a clip and click the ‘Assign to collection’ button. It might be hidden in the menu as shown below, depending on the setup of your production:

A dialog appears listing all your collections. Start typing the name of the collection you want to assign the clip to (or the name of a new collection if you want to create one). Once you picked a collection, click ‘Save’ to confirm. Your clip is now part of the collection.

Note: a clip can be in multiple collections at the same time.

Option 2: drag&drop

Find the clip you want to move into a collection. Click the dragging symbol. 

Drag the clip to the collection you want to put it in, as shown below.