There are lots of examples for Silverlight 3 and before when System.ComponentModel was directly accessible, however in Silverlight 4 with RIA Services none of those patterns work. We looked at the sample videos, some great blogs by Tim Heuer and others, and even looked at the most recent Silverlight Toolkit but had no luck.
After an hour or searching for the proper way to do grouping in a DataGrid in Silverlight 4 with RIA Services we found that it is really very simple:
1.) Open Domain Data Source
2.) Under Other: add GroupDescriptors
3.) Add the PropertyPath to your desired GroupBy
Thanks to my good friend, Dave Feldman, for helping to figure this out.