Creating toolsets within ArcGIS Python Toolboxes is surprisingly simple, but unfortunately somewhat difficult to locate in the documentation. Hopefully this will make it a little easier.

A tool's membership in a toolset is determined by category property of the tool class. Implementing this looks like the following in code.

class CreateSdeTool(object):

    def __init__(self):

        # ArcGIS tool properties
        self.label = 'Create SDE Workspace'
        self.canRunInBackground = False
        self.category = 'Create'

The end result produces toolsets in the toolbox like the following in the SDE Workspace Creation Toolbox.