Hey bala,
I usually use multiple groove operations. I'll draw the groove geo. at the depth increments that I want and just put a groove operation to each of the depths. I will also edit the rapid moves between the ops so that it eleminates the extra button pushing on the machine and the tool from rapiding in and out of the groove to the start position. When all the roughing is done I'll put a finish groove cycle to clean up the groove. It is a PIA but in the end it makes for a cleaner program and you get what you are looking for.
DANGER ZONE - HARD HAT REQUIRED!!!!