Select a Task by clicking the dot to its left.
In the upper menu bar, select "Move tasks".
Select "Create new List"
Enter the name of the new list
>*the new list does not show in the list of Lists*<
You must exit the "Move tasks" function and re-try in order to move the Tasks to the newly created List.
Ideally, the popup window would be refreshed to show the newly added List so that it's not necessary to exit the function and restart it.