1) Activity Start/End macros
The newer Harmony remote models support only the Activity Start/End macros (sequence of commands).
Run the activity setup wizard again and when it shows the "Review the settings for this Activity", select "Yes, but I want to add more control of options and devices for this Activity". It will go through the setup again, but this time, it will give you the opportunity to add sequences of commands (macros) to run at Activity start and Activity end.
2) Pseudo Mini Macros
In activity mode, when a button is pressed, all the commands for all the devices on that row are sent. The sequence is usually from the left to right device.
3) Learning a Macro using the "Learn IR command" feature
If you have another learning remote, you can create a macro with it, then teach it as a single command name using the device "Learn IR command" feature in RAW mode.