Go to your story, and in the upper left corner, next to the "Return to ___", there will be an "Add to Anthology" link. Clicking it will bring up a list of Anthologies you can put your story in.
To create an Anthology, go under the Discover Works tab > Anthologies. The Create An Anthology link is the first link under the Anthologies heading, near the top of the page.
“Sorry about the blood in your mouth. I wish it was mine.
I couldn't get the boy to kill me, but I wore his jacket for the longest time.” — Richard Siken
