Use the 'vgcreate' program:

# vgcreate my_volume_group /dev/hda1 /dev/hdb1 
        

NOTE: If you are using LVM 1 with devfs it is essential to use the full devfs name of the device rather than the symlinked name in /dev. So the above would be:

# vgcreate my_volume_group /dev/ide/host0/bus0/target0/lun0/part1 \
                           /dev/ide/host0/bus0/target1/lun0/part1
        

LVM 2 does not have this restriction.

You can also specify the extent size with this command if the default of 32MB is not suitable for you with the '-s' switch. In addition you can put some limits on the number of physical or logical volumes the volume can have.