Create a calculated set using combinations of existing dimension members

I have an MDX query that creates a calculated measure based on values in 2 dimensions: 

With
member measures.[CustomGrouping]
As
Case When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "1" Then "Group1"
When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "2" Then "Group1"
When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "3" Then "Group2"
When [Location].[City].currentmember.member_name = "Location2" and [Grade].[Grade].currentmember.member_name = "1" Then "Group2"
When [Location].[City].currentmember.member_name = "Location2" and [Grade].[Grade].currentmember.member_name = "2" Then "Group3"
When [Location].[City].currentmember.member_name = "Location3" and [Grade].[Grade].currentmember.member_name = "1" Then "Group1"
When [Location].[City].currentmember.member_name = "Location3" and [Grade].[Grade].currentmember.member_name = "2" Then "Group3"
Else "UnknownGrouping" End

Select {
measures.[CustomGrouping],
measures.[Cost]
} on 0,
[Location].[City].[All].Children *
[Grade].[Grade].[All].Children
Having measures.[Cost] <> 0
on 1
From MyCube

and then using SSRS I group all the results so I end up with the Total cost per CustomGrouping. Is there a way I can do this grouping inside the MDX query and not reporting services?
I was thinking of some kind of calculated set like (obviously this is incorrect):

 With
set CustomGroupingSet
As
Case When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "1" Then "Group1"
When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "2" Then "Group1"
When [Location].[City].currentmember.member_name = "Location1" and [Grade].[Grade].currentmember.member_name = "3" Then "Group2"
When [Location].[City].currentmember.member_name = "Location2" and [Grade].[Grade].currentmember.member_name = "1" Then "Group2"
When [Location].[City].currentmember.member_name = "Location2" and [Grade].[Grade].currentmember.member_name = "2" Then "Group3"
When [Location].[City].currentmember.member_name = "Location3" and [Grade].[Grade].currentmember.member_name = "1" Then "Group1"
When [Location].[City].currentmember.member_name = "Location3" and [Grade].[Grade].currentmember.member_name = "2" Then "Group3"
Else "UnknownGrouping" End

Select {
measures.[Cost]
} on 0,
CustomGroupingSet
Having measures.[Cost] <> 0
on 1
From MyCube