Yes, there are multiple steps involved that takes longer to explain than to do, but here is the process.
1) When viewing a list with the project that you want to make an action group of another project, click 'Edit' and select the project that you want contained in another project.
2) From the edit screen, click the 'Move' icon (far right in the toolbar).
3) From the move screen, click on "Make this project into an action" and then click on 'Project' to select the target project for the action group.
Edited to add: Looks like Brian beat me to the reply, but I believe his steps are to create an action group within that project. My steps are to change an existing project (with tasks) into an action group contained in another project. I may have misinterpreted what you are wanting to do, so disregard if that is the case.
Last edited by Greg Jones; 2010-09-16 at 01:24 AM..