I'd like to be able to have multiple levels of grouping when I create a custom sort. Instead of a dialog that looks like this (sorry for the ASCII art):

================================
first Sort by: [Field] [Direction]
then Sort by: [Field] [Direction]
...
----------------
Group by: [Field]
================================

You could simply do this:

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first [Group/Sort] by: [Field] [Direction]
then [Group/Sort] by: [Field] [Direction]
...
================================

Once a user has picked "Sort", all subsequent choices become "Sort", since it's pretty weird to group *after* sorting.