Adding to a specific group
There are several possibilities I think. I can think of two:


Use the membership status rules. If the membership is created
initially I reckon they would get the status 'pending', which is
then changed to 'new' (or 'current' depending on your setup) once
they pay. You can use this in Smart Groups to distinguish between
the two. More background in the user guide on memberships This
is for 4.6, but the concepts have not changed dramatically from 4.4
Use the CiviRules extension to get what you want. There is a
wiki explaining what CiviRules can do.


I would prefer the first option as I think you can manage this with core CiviCRM but it would require you to study and configure your membership statusses?