The full command for set group can be found at the following URL:
https://sc1.checkpoint.com/documents/latest/APIs/index.html#gui-cli/set-group~v1.1
The CSV should have the following header row:
name,members.add
The name field is for the group and the members.add field will be the host object to add to the group.
The rest of the body of the CSV would then be filled in as you wish:
group1,host1
group1,host2
group1,host3
group2,host1
group2,host2
group2,host3
You can then use the mgmt_cli command to run the batch job:
mgmt_cli -r true login > session.id
mgmt_cli -s session.id set group -b CSVFILE
mgmt_cli -s session.id publish
mgmt_cli -s session.id logout