As of now this unfortunatly not possible as the template tag just lists all categories.
What you would need to do is copy wrapper.html into your skins child folder. Then open it.
Find and delete
Code:
<h3 class="heading">{$lng->a_skins_categories}</h3>
{$category_menu}
Then instead of the above you would need to manually add your categories into your template
Code:
<h3 class="heading">Category SET 1</h3>
<ul class="category_menu">
<li><a href="paste your category url here">Category name</a></li>
<li><a href="paste your category url here">Category name</a></li>
</ul>
This way you can repeat the above and sort your categories how you like