This is a bit old, but I wanted to do the same thing and couldn't find an answer on the web. I ended up figuring it out by myself.
Let's suppose you created a field group through the CMS interface with the name "group_product_fields". You added some fields to that group.
Now you have a new field being included in the form programatically via hook_form_alter. You want to add that field to "group_product_fields". Here is an example of what the field could be:
$form['new_product_field'] = array(
'#type' => 'textfield',
'#title' => t('New product field'),
'#description' => t('Description for this new product field'),
All you need to do now is to add that new field to the field group. To do that add the line below to the hook_form_alter. It can be placed anywhere inside it.
$form['#group_children']['new_product_field'] = 'group_product_fields';
That's all. You may wish to adjust the field weight for it to be positioned as you want. But in the end this is really simple. :)