It appears that you can't do it from the iPhone itself...you have to create your Group in Address Book on the Mac and let Mobile Me or iTunes sync do its thing...
I thought that was how I did it before ( a year ago ) but the group is created in my Email software but the group won't synch to my phone?! However it will synch randomly - i.e. singular new emails synch from my phone to my computer, but I am not noticing the computer transferring data to my phone...same with calendar...hmmm, maybe that's the problem - issue synching anything entered into my computer first...anyone hear of this? It seems that this started about a month ago, I had to restore my phone and it would not restore with the most recent backup, so I had to go back a couple of back ups... since it has been glitchy! HELP!
Ahhh...yes...I have noticed that as well but had forgotten already..
Ever since Mobile Me, if I want "instant" updates to all of my devices, I do it on the iPhone and it distributes rather quickly...
If I do it on my computer it seems to appear on my iPhone when it feels like it....usually days later...
How long has it been since you added a group on your Mac? If it's more than a week, I'd say it's not going to do it and there's a bigger issue...If it's only been a couple of days, it may eventually get on your iPhone...
Such is life with Mobile Me...