Filegroups can be created when the database is first created or created later when more files are added to the database. However, you cannot move files to a different filegroup after the files have been added to the database.
A file cannot be a member of more than one filegroup. Tables, indexes, and large object (LOB) data can be associated with a specific filegroup. This means that all their pages are allocated from the files in that filegroup. For more information about the types of filegroups available, see Understanding Files and Filegroups.
A maximum of 32,767 filegroups can be created for each database. Filegroups can contain only data files. Transaction log files cannot be part of a filegroup.
Filegroups cannot be created independently of database files. The filegroup is an administrative mechanism for grouping files within the database.
To add a filegroup when creating a database
To add a filegroup to a database