You can't change the primary filegroup AFAIK. You can change the default filegroup. (http://msdn.microsoft.com/en-us/library/aa933074%28v=sql.80%29.aspx)

http://www.mssqltips.com/sqlservertip/2601/using-multiple-filegroups-for-a-database-and-changing-the-default-filegroup/

If you are trying to move to a new disk, detach the database, move the files, attach it back.

Some people will move all user objects out of the primary filegroup for DR purposes.

To delete a filegroup, the ALTER DATABASE command can do this, but you have to move all other objects. Some can be dropped and created on the new filegroup. Fro tables, you need to move the clustered index (rebuild it on the new filegroup).