"Lasso" isn't gone in 2010, it's just been "improved" to a new location.

By default in 2010, the "Drawing Canvas" is no longer used with shapes.

When you want to insert shapes that will be grouped, first insert a "Drawing Canvas". Now you can "lasso" many objects and group them together ...

Using a Drawing Canvas
http://wordribbon.tips.net/T006077_Using_a_Drawing_Canvas.html