If you want to play with a friend in Roblox but don't want to leave the game you're currently in, the best thing to do is create a new lobby with others by creating a private chat.
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The rules of private chat work the same as Twitch, allowing you to use a simple command to start a private conversation between yourself and another player. Here's how to easily start a private chat in Roblox.
There are two main ways to send private messages in Roblox, but both methods use the in-game chat. You must first start a Roblox game in which you want to contact someone. You can contact another player through the player list on the right side of the screen (while in-game), or manually type a player's name into the chat box.
Hover over the top left corner of your screen after launching your selected Roblox game. This will open the chat while you're playing. Those talking in the chat will be visible here, along with the player list. Type "/w" to start a private chat. /whisper will appear when you type this into the chat box. You don't need to select it for the command to work.