Hold Ctrl while individually clicking on items (components, nets, labels, etc) to add them to the group selection. Also while holding Ctrl, you can deselect individual items to remove them from the selection. Ctrl only works for individual items.
You can hold Shift while doing a group select to add a group of items to a selection. Shift only lets you add items to a selection.
These shortcuts are even more powerful when combined with Selection Filters .