You can create a distribution list on your email client
such as pine or elm. If you prefer you can create an
alias on the mail server. This will also allows your
students to send to this email alias as well.

If your server is using sendmail you can do the following.

add this line on the file
/etc/mail/aliases (other platforms /etc/aliases)

students: :include:/etc/mail/students

run newaliases

then add your students' email addresses on the file
/etc/mail/students.

: I am a Teaching Assistant and need to communicate
: with my students. I want to send all of them an email
: effeciently.

: So how can I create such a group?