As the Sophos Cloud product is User based, you can only add users to policies and groups, there is currently no way to add a device to a policy or group. What specifically are you trying to do?
I have a user who has one domain login that she uses for multiple machines, all running Sophos. I am trying to put restrictions on the first machine and have unrestricted access on the second machine.
This would not be possible as the policies are user based and now endpoint based. As a solution you may need to have specific logins for the endpoint s with the restricted policy and add the specific users to that restrictive policy.