Step 1: Select them
In iPhoto, click on your Photo Stream section on the left and then click on the photos you want to create an event with. Use Shift to select multiple pictures and the Command key to select alternate pictures.
Step 2: Import
If you click the Sharing or Send To buttons at the bottom of the iPhoto interface you’ll see this message that allows you to import pictures to your permanent library. Click Import and they’ll be added.
Step 3: Still selected
Your imported pictures will still be selected so you can now use the Events menu at the top of the screen and select the top option: Create Event. This will throw up a new dialog box to confirm.