I just collect the links of items I want to put into a treasury (by copying and pasting into Word) and then I go here:
https://www.etsy.com/treasury/newThen you come up with a title, tags that are relevant to your treasury as well as current trends, and a description. Then, you just add the links and the items' photos will appear. You can only have up to 16 items on a treasury, though.