At the time of writing there are no tools built into Power BI to create them though. You can add them programmatically though.
To add them I wanted to play around with the tabular object model but more on this project later 🙂 . Unfortunately, there was not much documentation available on how to add calculation groups using TOM. Luckily, I have short access lines to the devs and they helped me :). I wanted to share in the code snippet below how to add a calculation group to your model in TOM using C#. Make sure you add the SSAS NuGet packages to your project.
Click through for an example of what to do.