I've been reading all this stuff about Changesets in TFS, and how you can build and leave out changesets etc. this and that... check in a bunch of files into one Changeset.
But how do you physically do it? I see "Shelve changes" which I understand but I don't understand how you actually create a "Changeset" called "New Feature A" and check in all the files associated.
When you check in changed items the set of changes are aggregated to single entity called "Changeset"
TFS creates a changeset every time you do a checkin. All the files that are checked in together are included in the changeset.
If you go on the link tab of a work item it allows you to search for change sets and associate them to the issue, but if you do the association at check-in time it will be much better. We have a rule that does not allow checkins without the association which forces the linking to happen correctly.
a "Changeset" called "New Feature A"
Changesets don't have names, they have numbers (which are automatically assigned by the server). As Andrey points out, the act of checking in creates a changeset containing all the checked-in items.
For naming pieces of work, you want Work Items, which you create yourself and can be given names and whatever other details you want. When checking in a changeset, you can choose to Link it with one or more Work Items - that way, from the Work Item you can view all Linked changesets. You can even link (and unlink) changesets to (and from) Work Items after check-in.