Creating a record set is a basic Specify task. First, create a list of numbers as described in the first part of the linked page. When you run the 'In' query, on the query results page, you'll see a set of icons on the upper right corner. The one that looks like a series of stacked CD's is the 'create record set' icon. Press that and you'll be presented with a pop up asking you to add this query to an existing set or create a new record set. Choose whichever is appropriate and hit save.
The record set is now available in the sidebar. You can use record sets to create loans, save query results and other important functions.