Automatically have Nonclustered indexes in a Different Filegroup
Clustered index is just a well arranged table. When we create clustered index on heap, it arrange data of the tables based on key column. So moving clustered index means you are moving table to different file group.

There’s no inbuilt feature in SQL Server to automatically move indexes to specific file group when we create index, instead we can write index maintenance script to move indexes to specific file group based on index type or we'll have to specify file group while we are creating indexes.

Also, this link will help, https://stackoverflow.com/questions/55187160/automatically-create-indexes-in-different-filegroup-edit-publish-profile-script