How do I create a conversation group on the forum?

[Ungod]

Can I also do that with the in-game inbox?

[Muratus del Mur]

You can not do group discussions with the in-game inbox at this time (maybe at some point in the future i will code such a feature).

You can start however a private message on the forum, and add multiple participants to it. Like this you can open a discussion with the group of people you desire (and only them).