Clik New Item
Then Feature Layer.
Personaly I finde the name Feature Layer misleading a this point. I would have liked it to be named feature class group becaus it can consist of several inficidual feature layers.
Chose Create a blank layer and then Next
IN the next dialogbox you add the individualfeature clases
Add one or more layers
You can add the GPS metada fields in you wish to store the GPS accuracy at the point od collection You cand add Z-values if you wish to includ elevation