Drop this into the Editor folder. Press Shift+Cmd/Ctrl+Alt+N to create a new GameObject that is parented to the currently selected Object. Press Cmd/Ctrl+G to group the selected GameObject into a new GameObject.

CreateEmptyParented.cs

using UnityEngine;
using UnityEditor;
using System.Collections.Generic;

public class CreateEmptyParented : EditorWindow {

	[MenuItem("GameObject/Create Empty (Parented to Selection) %&#n", false, -1)]
	static void CreateEmptyParentedNow() {

		List<Object> creations = new List<Object>();

		Transform[] ts = Selection.transforms;
		if(ts.Length > 0) {
			for (int i = 0; i < ts.Length; i++) {
				GameObject go = new GameObject("GameObject");
				Undo.RegisterCreatedObjectUndo(go, "Create GameObject");
				Undo.SetTransformParent(go.transform, ts[i], "Create Empty (Parented to Selection)");
				go.transform.localPosition = Vector3.zero;
				go.transform.localEulerAngles = Vector3.zero;
				creations.Add(go);
			}
		} else {
			GameObject go = new GameObject("GameObject");
			Undo.RegisterCreatedObjectUndo(go, "Create Empty");
			go.transform.localPosition = Vector3.zero;
			go.transform.localEulerAngles = Vector3.zero;
			creations.Add(go);
		}

		Selection.objects = creations.ToArray();

	}

	[MenuItem("GameObject/Group Selection %g", false, 12)]
	static void GroupSelection() {
	
		GameObject go = new GameObject("Group");
		Undo.RegisterCreatedObjectUndo(go, "Created Group");
		if(Selection.activeTransform) Undo.SetTransformParent(go.transform, Selection.activeTransform.parent, "Group Selection"); //Parent to activeTransform's parent

		Transform[] ts = Selection.transforms;

		//Find average position of selection and apply it
		Vector3 pos = Vector3.zero;
		for (int i = 0; i < ts.Length; i++) {
			pos += ts[i].position;
		}
		pos = pos / ts.Length;
		go.transform.position = pos;

		//Now parent the selection to the new object
		for (int i = 0; i < ts.Length; i++) {
			Undo.SetTransformParent(ts[i], go.transform, "Group Selection");
		}

	}

}

If you have multiple Objects selected, multiple GameObjects will be created.

• Cmd/Ctrl+G lets you group GameObjects
• Supports the new Undo-System