I`ve found...

 private void xGrid_GroupByCollectionChanged(object sender, Infragistics.Silverlight.GroupByCollectionChangedEventArgs e)
        {
            foreach (var v in e.NewGroupedColumns)
            {
                v.Visibility = Visibility.Visible;
            }

            foreach (var v in e.PreviousGroupedColumns)
            {
                v.Visibility = Visibility.Visible;
            }

            foreach (var col in xGrid.GroupBySettings.GroupByColumns)
            {
                col.Visibility = Visibility.Collapsed;
            }
        }