If you want to create a new layer from a selection of data in your map, select the data you want to add to a new layer in the Data window. Now, Layer  >  Create Layer from Selection.

You can also select a data set using the filter bar to create a filtered list of data to create a new layer from.

This creates a new layer that will appear in the Layer stack from the selected features in the current layer, copying the styles and all data attributes.