there are 2 ways. 1 - simple group command - I think Alt-k will do that, and you pick all the items. Groups all exist on one layer, and if you pick an item from another layer, it will bring it to that layer.
2 - Selection Sets - I don't recall which f-key, but it's on the main menus. You can add items to an Selection Set, they can be on different layers. You can name the Set, mask by Set, make it active so new items are added to the Set, etc. Probably the Ref Manual explains all this better.
Roger Donaldson AIA CSI CDT NCARB abUsing Datacad since 1986, ver 23.00.01.02 (SE) http://www.RogerDonaldsonArchitect.com