The pandas DataFrame provides a nice querying ability.
What you are trying to do can be done simply with:
# Set a default value
df['Age_Group'] = '<40'
# Set Age_Group value for all row indexes which Age are greater than 40
df['Age_Group'][df['Age'] > 40] = '>40'
# Set Age_Group value for all row indexes which Age are greater than 18 and < 40
df['Age_Group'][(df['Age'] > 18) & (df['Age'] < 40)] = '>18'
# Set Age_Group value for all row indexes which Age are less than 18
df['Age_Group'][df['Age'] < 18] = '<18'
The querying here is a powerful tool of the dataframe and will allow you to manipulate the DataFrame as you need.
For more complex conditionals, you can specify multiple conditions by encapsulating each condition in parenthesis and separating them with a boolean operator ( eg. ‘&’ or ‘|’)
You can see this in work here for the second conditional statement for setting >18.
Edit:
You can read more about indexing of DataFrame and conditionals:
http://pandas.pydata.org/pandas-docs/dev/indexing.html#index-objects
Edit:
To see how it works:
>>> d = {'Age' : pd.Series([36., 42., 6., 66., 38.]) }
>>> df = pd.DataFrame(d)
>>> df
Age
0 36
1 42
2 6
3 66
4 38
>>> df['Age_Group'] = '<40'
>>> df['Age_Group'][df['Age'] > 40] = '>40'
>>> df['Age_Group'][(df['Age'] > 18) & (df['Age'] < 40)] = '>18'
>>> df['Age_Group'][df['Age'] < 18] = '<18'
>>> df
Age Age_Group
0 36 >18
1 42 >40
2 6 <18
3 66 >40
4 38 >18
Edit:
To see how to do this without the chaining [using EdChums approach].
>>> df['Age_Group'] = '<40'
>>> df.loc[df['Age'] < 40,'Age_Group'] = '<40'
>>> df.loc[(df['Age'] > 18) & (df['Age'] < 40), 'Age_Group'] = '>18'
>>> df.loc[df['Age'] < 18,'Age_Group'] = '<18'
>>> df
Age Age_Group
0 36 >18
1 42 <40
2 6 <18
3 66 <40
4 38 >18