I was looking to do the same thing, so i thought I share what worked for me. Place in footer:
<?php
//You only need this if you want this to run on a specific page. If you want it on every page, then remove the if statement
if (is_page('my-page-slug')){ ?>
<script>
jQuery('.my-class select option')
.each(function() {
var optionText = jQuery(this).html();
//if there are 2 spaces ( ), then it is our option. change the variable depending on your needs.
//otherwise replace option tag with optgroup
var m = optionText.match(/( ){2}(.*)/g);
if (!m)
jQuery(this).replaceWith('<optgroup label="'+optionText+'"></optgroup>');
});
</script>
<?php
}
?>