Usually sorting is performed on the groupby keys, and, as you found out, you cannot call sortthe groupby object, then you can make a call applyand pass a function DataFrame.sortand pass the column as the kwarg parameter:
In [58]:
df.groupby('cokey').apply(pd.DataFrame.sort, 'A')
Out[58]:
cokey A B
cokey
11168155 1 11168155 0 18
0 11168155 18 56
2 11168155 56 96
3 11168155 96 152
Alternatively, you can just sort the df before grouping:
df.sort('A').groupby('cokey')
Update
0.17.0 DataFrame.sort , . docs, DataFrame.sort_values:
df.groupby('cokey').apply(pd.DataFrame.sort_values, 'A')