How can I add new file groups to an existing database in Microsoft SQL Server 2008?
I see that this is not possible through SSMS?
You can add filegroups directly from SSMS. Right-click on a database and go to Properties. In the Database Properties dialog under the Filegroups tab click the Add button and name your filegroup:

To add files to a filegroup, under the Files tab click the Add button and choose the filegroup to which you want to add a file:

You can also use T-SQL e.g.:
ALTER DATABASE [AdventureWorks2012] ADD FILEGROUP [2014]
GO
Hope this helps