Well, if you give them the same name across different skins when exporting from photoshop it gets automatically grouped.
Also if the attachments are e.g. all hands you can group them inside slots to swap them.
If the attachments you have need to be visible all at the same time or are very different (a sword, parts of a gun, etc.) indeed this could be a smart feature to have.
I vote +1 for this (:
A roundabout way to have this for now would be to use the naming system in your favour, calling an attachment with a prefix to have an "automated grouping". also you can filter the tree or search for the parts, although it's not exactly the same thing.