It is a console specific process to form a party. I can't speak for the Xbox One (although I would assume it is somewhat similar to how the PS4 works and even the Xbox 360 which I'm very familiar with), but essentially on the PS4, you back out to the console screen (PS button) and scroll over in the options to the "headset" icon (I think it says chat or something like that). Then you click on the icon and go from there. You can create a private chat party. Or if invited (or if your friend's chat is open) you can join their party.