This is how I did this:
Run the Upgrade Wizard, if the option to stop after each step. After the
wizard generated the scripts on the 6.5 side, I changed the script for
creating the tables and add the on clause to indicate the filegroup. Before
that I create the database myself, and added the filegroups.
Now have the wizard continue, it will create the tables on the filegroup and
the data gets load on your filegroup.
You also have to do this for the indexes, I forgot that the first time :)
You can check after the objects are created if they are placed correctly,
using sp_help. Also be aware that clustered indexes are also on the same
filegroup and the table, open door, but just in case.
No live without an edge.