Hello
I am using Skype version 4.0.61.181. In there, you just hold down your control key and select the contacts you want to have a conversation with, and they are grouped ready for you to call them.
If you are already talking to someone and want to add a third person, you can use the "Add people" button on the right of the screen to add more people to your ongoing call. The only proviso, I believe (never tested) is that it is only the call initiator who can add people to the conference.
The other proviso is that you cannot add people to a video conference, which remains one on one last time I checked.
Hope this helps