Drag a box around the whole thing, then Right click and Grouping / Group
The project yo linked to is a bid of a ~!^#. It is probably a cleaned out project from the Feather thing itself, while if you want to use it in another project, you want a footprint for it, and not a PCB. In a footprint, al parts are always kept at the same distances relative to each other. Another problem is that there are lines on Edge.Cuts. and if you place that thing on a PCB, then your manufacturer will make a hole in the PCB with the size of the Feather thing. That is probably not what you want.
They are placed very specifically, but these things tend to be breadboard compatible, which means all pins are spaced on a 2.54mm Grid. That means it is very easy to manually create a footprint from scratch. Just set the grid in the footprint editor to 2.54mm, and draw two arrays of pins (Or start with an existing footprint of a 16 pin header, then copy the data for the 12 pin header.