I'm not sure if there is a quicker way to do #1 other than by opening each e-mail in turn, and clicking the little yellow star (only if it is dim) that is toward the right side of the horizontal bar between the email list and viewing pane to add each sender to your Address Book.
Once all the email addresses are in your Address Book, you would create a new mailing list. Open the Address Book and click "File\New\Mailing List..." Enter the desired name for the mailing list and then click [OK], without adding any email addresses. The new empty mailing list should appear in the Address Book. Then, find where your contacts are listed, select the ones you wish to add to the mailing list, and drag them into the mailing list. The mailing list feature may also mask the email addresses of the other recipients so that they don't see the email addresses of everyone on the mailing list. When composing a new message, just enter the name of the mailing list into the "To" field.