A change set belongs to exactly one component, so to make changes to multiple components, the system will automatically create a change set in each of the modified components, to capture the changes to that component.  To group change sets from multiple components into a single logical change, you would create a work item for that logical change, and associate all of the appropriate change sets (possibly from multiple components) with that work item.  To deliver that work item, the easiest approach is to just say "deliver all" in your Pending Changes view.  If you don't want to deliver everything, you would multiselect the change sets you do want to deliver, and then execute the deliver operation.