In Data Exploration, on the Genes Panel, search for the gene you are interested in and select it with the tick box. I will use the gene CD38 in this example:
Now click “Cellset” from the Genes panel (see above screenshot). A pop-up will appear that allows you to create a Cellset by filtering for this gene. Note that the filter uses the expression levels of the genes, not the dispersions that are visible in the Genes panel.
If I now click “Create”, my new custom cell set will appear in Cell sets and Metadata panel, under Custom cell sets:
It is also possible to create a Custom cell set, based on the filtering of multiple genes, where one can apply different filters for different genes: