Categories are useful when you have a single concept that's broken down into different categories (hence the name!). Examples:
The bold items above are categories. Within a category, there will be multiple items:
Hover over a variable and click on the Categories button to create a category.
You can also create a category via the Data Tables section at the bottom of the screen. Click on the Categories dropdown, then the + New Category button. You can rename a category by double-clicking on its name in the data table view.