This can be done through the following steps:
First, go to your Groups section. 

Find the Group where you want to move contacts from. Click the number under the column, "Number of Prospects" to view the contacts.

Select contacts that you want to move by checking the box beside them, then click Move Contact.

Select the Group that you want to transfer the contact/s to then hit Move. Or you can also create a new group by clicking the + New Group button.