As noted above, it is easy to create and remove sets of selected objects, and a selection can be removed accidentally by double-clicking on a blank area of the canvas. If you wish to keep a set of selected objects as a permanent group so that you will not accidentally deselect them, you can create an object group. Just select Objects->Group to create the group. You can select Objects->Ungroup to remove the group. See Grouping Objects for more information on groups.