You can create a Collection from the Home or Search page by clicking the "Add collection" button.

Next, pick a title and press Create.

After you have created a collection, you will see a few Recommended shows. Add them to your new Collection by pressing the plus button.  A green checkmark will appear beside the Podcasts that have been successfully added.

Or you can press "Add to this collection" to access the full library.

Scroll through the different categories and press the plus button to add them into your Collection. Press Done when finished.