Assuming you mean menu of a standard DVD there is no need to make any cuts. You can simply set chapter markers using [Shift + Enter] at the cursor position. This will give you separate chapters when you create your DVD menu.
If you want multiple 'movies' (which may contain their own chapters) each section must by a project on its own. I'd suggest first making the cuts (use [T] key at cursor position) and save as a project. Next, for each movie, load this project, delete all but one section , and save with a new movie name. Then you can create a master project by opening each in turn selecting the option to 'Add to current project' rather than closing. Now your DVD will have a root menu to pick a movie.