Sometimes your professor will want you to create sections in your bibliography (for primary vs secondary sources, for example).

In general, the best way to do this is:

1. Finish your paper and add your basic bibliography
2. Save a copy of your paper
3. Click "Unlink Citations" in the Zotero toolbar of your word processor
4. Rearrange and label the items in your bibliography manually.

If you have a very large bibliography, it may be worth using a custom citation style (like the one linked below). This requires:

1. Installing a custom style into Zotero (here's how, according to Zotero's documentation)
2. In your document use the Zotero toolbar to set Document Preferences and indicate that you want to use the custom style for this document
3. In Zotero, go through each item and add a word or a number to the "Extra" field. The custom style will group items with the same word/number together and then display the groups alphabetically/numerically in your bibliography.
4. Finish your paper and add your basic bibliography.
5. Save a copy of your paper.
6. Click "Unlink Citations" in the Zotero toolbar of your word processor
7. Add section headings to each grouping of citations