Collections are made by using the "collection" feature on the site, which allows you to combine multiple products into one. It's done through the website script for products you already have published. You can make your own collections by simply packaging a bunch of models together as one product before uploading, but I don't think you can label it as a "collection" on the site if you do it that way. Maybe I'm incorrect, but I think to use the website collections feature you have to combine published models through the website collections feature itself.