Use the 'vgcreate' program:
# vgcreate my_volume_group /dev/hda1 /dev/hdb1
# vgcreate my_volume_group /dev/ide/host0/bus0/target0/lun0/part1 \ /dev/ide/host0/bus0/target1/lun0/part1
You can also specify the extent size with this command if the default of 32MB is not suitable for you with the '-s' switch. In addition you can put some limits on the number of physical or logical volumes the volume can have.