Python Pandas: how to add a totally new column to a data frame inside of a groupby/transform operation

What problems are you running into with apply? It works for this toy example here and the group lengths are different:

In [82]: df
Out[82]: 
   X         Y
0  0 -0.631214
1  0  0.783142
2  0  0.526045
3  1 -1.750058
4  1  1.163868
5  1  1.625538
6  1  0.076105
7  2  0.183492
8  2  0.541400
9  2 -0.672809

In [83]: def func(x):
   ....:     x['NewCol'] = np.nan
   ....:     return x
   ....: 

In [84]: df.groupby('X').apply(func)
Out[84]: 
   X         Y  NewCol
0  0 -0.631214     NaN
1  0  0.783142     NaN
2  0  0.526045     NaN
3  1 -1.750058     NaN
4  1  1.163868     NaN
5  1  1.625538     NaN
6  1  0.076105     NaN
7  2  0.183492     NaN
8  2  0.541400     NaN
9  2 -0.672809     NaN