Thanks for all you're doing, not only on this plugin, but for the ST2 community at large. Very much appreciated!
Sorry to inform you, though, that the groups functionality doesn't seem to be working. I created 4 four files and saved them to the filesystem (though I did leave them blank), and then tried to add them to a favorites group. They didn't get added, but the favorites group name did get saved (somewhere) because it was available to me during later attempts at saving the files to a group. I also added a little content to each file and tried again, but with the same results.
And I did restart ST2 at some point after installing the plugin. It may have been after the first attempt at saving a group, though. I can't remember.
I doubt that it will be very helpful, but I recorded a short screencast  illustrating the process. In the video, I mention that I didn't see a settings file of any kind in the project directory (though I'm not sure why I expected one there), but I did see the favorite_files_list.json in Packages/User, but it was empty except for what appears to be default content:
When you save a group of files, are you making any attempt at storing the view indexes? It would be nice if the files were opened in the same order they were in when the favorite group was saved.