If the groups aren't present in the OBJ file, it must be LW's exporter that's not putting them there or the LW importer that's not loading them in the first place.

You might find you'll get an answer in the Lightwave forum, as it's likely that what you need to do is dependent on both the version of Lightwave you're using (9.6 has an improved OBJ exporter compared to earlier versions) and how you're creating the groups.