Go to Customers in the main navigation bar. In the upper right corner.
Press Customer Groups in the upper right corner.
Press + New Customer Group in the upper right corner.
Under CUSTOMER GROUP NAME, enter a name for the customer group (ex. Tax Exempt).
If this customer group will have a specific tax class assigned to it, under CUSTOM TAX ENABLED, select Enabled. Please note that it is disabled by default.
Press Save Changes.