You could make a formula with an if statement something like this

if day({somefield}) >= 1 and day({somefield}) <=5 then '1st to 5th'
else if day({somefield}) >= 1 and day({somefield}) <=5 then '6th to 10th'
 etc.

Then use that formula to group on.  You could also use a switch statement which might be easier to read in the long run.