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. :)