Lets say you have a table with this structure

Create table Test (code int, name varchar(50))

1 - Without nothing (Clustered IndexI,PK, identity)

you can create a new identity column and send to newfilegroup and after drop the index and identity column

alter table Test add DId bigint identity(1,1)

then you create the CI to another filegroup

CREATE CLUSTERED INDEX [MyCI]

ON [Test]([Did])

ON [newfilegroup]

DROP INDEX [Test].MyCI

alter table Test drop DId

1 - Without nothing (Clustered IndexI,PK) but your table alread have one column identity call Myidentity

then you create the CI in theis column to another filegroup and after drop de index

CREATE CLUSTERED INDEX [MyCI]

ON [Test]([myIdentity])

ON [newfilegroup]

DROP INDEX [Test].MyCI

simplifying, identity column is an auto increment. So you do not have to enter data when it is created.

I suggest before you do somenthing, read about identity columns in BOL.