These are two contradictory things. Audio groups compile the sound effects into a dat file. External files are kept loose in your install directory. So you'll need to adjust the gain of those sounds independently. You can probably write a few scripts to emulate what you want however. For instance, when you add a sound, store it in a unique list for each audiogroup. Write an alternative script to replace audio_group_set_gain() that changes the audiogroup plus any sounds you stored in your custom list.