Can't Turn Multiple Objects Into A Blueprint?

Development Programming & Scripting Blueprint
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1

I’m following a [Tutorial][1] where you make checkpoints. Then you’re supposed to select everything and turn it into a blueprint but I don’t get the option to. Here’s an image of the options I have:

38459-help.png

It says nowhere turn it into a blueprint. Any help?

NOTE: The bit in the tutorial is at 8:00.

2

Are you using 4.7 or above? This is a feature that was added in that release.

3

I downloaded it yesterday so I probably have the newest version