Adi here is one twist according to BOL:

"Because the leaf level of a clustered index and the data pages are the same by definition, creating a clustered index and using the ON partition_scheme_name or ON filegroup_name clause effectively moves a table from the filegroup on which the table was created to the new partition scheme or filegroup."

It means that the filegroup for clustered index and table will remain same. The non clustered indexes can be placed on a different filegroup.

-LK