I've updated this script to do a few additional things, like

- Properly re-create unique indexes

- Handle Included columns

- Do "online" index moves w/error handling - creates new index, drops old, then renames

- Uses existing fill factor if the source index explicitly defines it

I've posted the script at my blog - I'm interested if anybody else has feedback or something they'd like to see added.

http://www.trycatchfinally.net/post/2010/02/08/Migrate-database-indexes-to-a-new-file-group.aspx