If you'd like to have a smaller group conversation outside of the server, simply press the New Message icon in the upper right corner to start a new group chat.
You'll be able to select the friends you would want to include in a group direct message on the following screen. (You can invite up to 10 people to the group through DMs)
You'll be automatically taken to a new group message once you've confirmed the friends you'd want to add by pressing the blue Send Message icon in the bottom right hand corner.
You may now start speaking with your friends using text, emotion icons, photographs, and more new that you've linked with them in servers and DMs.