Another thing you can say is, when people ask you if you can create subgroups in Yammer and are preparing to be disappointed, that Yammer allows related groups that work in the manner that the others have said upthread.
But in effect, you can use them as subgroups. It's the same number of clicks (one or more, depending on how many groups you have).
One of my colleagues works on corporate webinars with a team made up of people across the company. He created a main "Webinars" group for general information and questions. He then creates a related group for each specific webinar that the team is working on, and makes sure to add "Webinars" as that little group's related group.
From the main Webinars group, people can then click into any of the related groups or click back to Webinars and choose another.
