I'm using SW2015 and I use the Group command to attach a Balloon to a Dimension.
We are using 2013, there seems too be no way to attach the dimension to the annotation to make a group.
Or maybe your just saying make a bogus sketch and attach a dimension to it and then group, if that's the case the
group works but it really doesn't stay in line with he dimension, bug maybe ?
Select the dimension, In the Dimension Text box, Select the More Symbols button, If you are in -16 you will need to select the more symbols at the bottom of the pop up window. Then the choice is yours.
When you highlight the dimension, notice on which side of the <DIM> the cursor is placed, since that is where the symbol will be added.