Magento 2: Create customer group programatically

May as well answer this since I figured it out.

The problem with my example above is that I was trying to use the GroupRepository to push the new model to the database.

Instead, I should have just used $group->save() on the model returned by the GroupFactory:

<?php
namespace MyCompany\MyModule\Setup;

use Magento\Framework\Module\Setup\Migration;
use Magento\Framework\Setup\InstallDataInterface;
use Magento\Framework\Setup\ModuleContextInterface;
use Magento\Framework\Setup\ModuleDataSetupInterface;
use Magento\Customer\Model\GroupFactory;

class InstallData implements InstallDataInterface
{
    protected $groupFactory;

    /**
     * I'd like a customer group factory please Sir!
     */
    public function __construct(GroupFactory $groupFactory) {
        $this->groupFactory = $groupFactory;
    }

    public function install(
        ModuleDataSetupInterface $setup,
        ModuleContextInterface $context
    ) {
        $setup->startSetup();

        // Create the new group
        /** @var \Magento\Customer\Model\Group $group */
        $group = $this->groupFactory->create();
        $group
            ->setCode('My New Group')
            ->setTaxClassId(3) // magic numbers OK, core installers do it?!
            ->save();

        $setup->endSetup();
    }
}

Since the version 2.2.1 the use of the ->save() method from the Magento\Customer\Model\Group implementations has been deprecated.

Instead, you should use:

use Magento\Customer\Api\Data\GroupInterfaceFactory;
use Magento\Customer\Api\GroupRepositoryInterface;

instead

use Magento\Customer\Model\GroupFactory;

Using Robbie Averill solution as a baseline: https://magento.stackexchange.com/a/93789/15530

Pass those classes to the constructor like:

public function __construct(
        GroupInterfaceFactory $groupFactory,
        GroupRepositoryInterface $groupInterface) {
        $this->groupFactory = $groupFactory;
        $this->groupInterface = $groupInterface;
}

And then just use it as per this example: $this->groupInterface->save($group);

Where group is created using the factory creator like: $group = $this->groupFactory->create();

Save method is deprecated in Magento 2 try this code:

<?php
/**
 * Copyright © 2018 MyCompany. All rights reserved.
 * See COPYING.txt for license details.
 */
namespace MyCompany\MyModule\Setup;

use Magento\Customer\Api\GroupRepositoryInterface;
use Magento\Customer\Api\Data\GroupInterfaceFactory;
use Magento\Eav\Setup\EavSetupFactory;
use Magento\Framework\Setup\InstallDataInterface;
use Magento\Framework\Setup\ModuleContextInterface;
use Magento\Framework\Setup\ModuleDataSetupInterface;

/**
 * Class InstallData
 *
 * @package MyCompany\MyModule\Setup
 */
class InstallData implements InstallDataInterface
{
    /**
     * @var GroupInterfaceFactory
     */
    private $groupFactory;

    /**
     * @var GroupRepositoryInterface
     */
    private $groupRepository;

    /**
     * InstallData constructor.
     *
     * @param GroupInterfaceFactory $groupFactory
     * @param GroupRepositoryInterface $groupRepository
     */
    public function __construct(
        GroupInterfaceFactory $groupFactory,
        GroupRepositoryInterface $groupRepository
    ) {
        $this->groupFactory = $groupFactory;
        $this->groupRepository = $groupRepository;
    }

    /**
     * Installs data for a module
     *
     * @param ModuleDataSetupInterface $setup
     * @param ModuleContextInterface $context
     * @return void
     * @SuppressWarnings(PHPMD.CyclomaticComplexity)
     * @SuppressWarnings(PHPMD.ExcessiveMethodLength)
     * @SuppressWarnings(PHPMD.NPathComplexity)
     */
    public function install(ModuleDataSetupInterface $setup, ModuleContextInterface $context)
    {
        $setup->startSetup();

        try {
            // Create the new group
            /** @var \Magento\Customer\Model\Group $group */
            $group = $this->groupFactory->create();
            $group
                ->setCode('My New Group')
                ->setTaxClassId(3);
            $this->groupRepository->save($group);
        } catch (\Exception $e) {

        }

        $setup->endSetup();
    }
}