Open the app and go to the game lobby of your preferred game. Then choose the icon in the lower left corner of the game. Click on the Create Club button that you see on the bottom of the window. You will see a new screen where you will have to choose your club's name, avatar, status, location, minimum level for the other club members, privacy and club tag. When you are ready, click on Create.
Please note that you have to be at least level 10 to create a club and the creation of the club will take 1000 gems from your gems wallet.