You can do this. Here are the steps:
1. Select desired frames
2. Copy frames
3. Create movie clip symbol
4. Paste frames into movie clip symbol
If this is something you do frequently, there are extensions that streamline this process.
Edit: Here's a link to the extension "New Anim Clip". It's about a third the way down the page.
Oh wow! Awesome
it worked, kristofer!
Kristofer.. did you find the "New Anim Clip" has a limit on how many frames it can copy over? I just tried a longer image sequence ..about 80 frames and it would not let me paste it in the symbol.
I haven't run into that, but I mostly use it for vector based animations rather than image sequences. A possible work around would be to just use New Anim Clip on a smaller number of frames...say 10 to be safe. Then manually copy and paste the remaining frames once New Anim Clip has made the symbol for you. It's an extra step, but still faster than manually doing everything New Anim Clip does.