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You'd normally do all category maintenance from the category buffer.
When you enter it for the first time (with the J c command from
the group buffer), you'll only see the default category.
The following commands are available in this buffer:
gnus-category-exit).
gnus-category-customize-category).
gnus-category-kill).
gnus-category-copy).
gnus-category-add).
gnus-category-edit-predicate).
gnus-category-edit-groups).
gnus-category-edit-score).
gnus-category-list).