We can Create the Consumer group by calling CreateConsumerGroupIfNotExists from the code. But is there a way we can Create it from the Microsoft Azure Portal ?
On the old Azure Portal you can access it via https://manage.windowsazure.com.
Azure Portal -> Service Bus Tab -> myServiceBus -> Event Hub Tab -> myHub
Once inside the Event Hub, there should be a "CONSUMER GROUPS" tab at the top, click on that. Once inside, in the navy blue footer, there should be a "create" button which will let you create a new consumer group. Attached below is a diagram on how to get to this.