Try this:

1. Highlight the faces you want to include in the domain.
2. Under the Model tab you'll see the heading Shading Domain with a blue drop-down menu. (you will only see this option if you have one or more faces selected)
3. Click the menu and select "New Shading Domain"
4. A box will pop up where you can name the new domain.
5. Repeat this for every domain you want to create.