This article assumes your are using Vortex, the official mod manager of Nexus Mods. If you are using a different application, please review the documentation provided by the developers.
When creating a collection there are two main approaches; you can either use your current profile to as a collection, or you can start with an empty collection and add mods as needed.
This will turn your currently active profile into a collection and name it "Collection: -Your Profile-". You can edit the name by hovering over the collection tile and selecting the pencil icon in the bottom right. Clicking the "Edit" button at the top will allow you to make changes to the collection, add/remove mods, or further customise it.
This will create an empty collection that you can now add mods to.