You should be able to by logging onto steam through your browser and going to the Collection's page. There is a button on the right to create a collection.
I did just realize that all the collections on the first page were posted 2012 or early 2013. UPDATE: The collections page seems to be fixed for the most part.
Hey guys, this time it's little be different, we create mug collection (on 3D) and Tie collection to keep style everytime! Hope you will like it haha, cheers :)
When you create a collection of your items there is a new option to specify it as a set rather than just a collection. Doing so will cause the queue to say, do you want to see this se of items in game? Iif its just tagged as a normal collection the queue seems to throw up every item from ir rather than just once.