Hi Crixus,
In smoothing groups are called poly groups. This link will show you how to create them.
Smoothing groups are something that are very necessary on some models and not so important on others. If your model is of an organic nature you will definitely need them. If your model is mainly hard angles, then they wont mean as much. That being said, I almost always use them. Without them sometimes you can see the individual triangles in the geometry once its imported into the engine. Although you can create smoothing groups in Zbrush, I personally think its easier to make them in an external program like Maya, Max, or Blender. They are something that can change as you model, but using them from the beginning can be useful. In Max they are assigned automatically be default. You can of course change it if you like, but normally the defaults work fine. There are some instances where customizing your smoothing groups will be necessary in order to have accurate smoothing.
I don’t know if Blender automatically exports them, but I’m pretty sure that does if they exist. In 3ds Max you actually have to check it in the export dialog, so it might be like that in Blender as well. This is an image taken from the Autodesk website demonstrating smoothing groups.
Hope this helps 