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Creating a Hot List of Candidate or Client Contacts is done quickly and easily in Mercury. 
 
Click Hot lists
 

 
Click + New
 
 
 
Enter the hot list Name, Owner, select whether you want it to be as Candidate or as a Client Contact hot list and click Save.  
 
 

After you have saved, the relevant section Candidate or Client Contact will appear. Click Add Existing Contact and use the lookup to search the contacts.
 

Click on the name(s) you'd like to add, you can add as many as you want. Once finished click Add at the bottom. 
 
 

Click Save and then your hot list will refresh with the contacts added.