You can put the Groovy source in the jar and the Groovy classloader will compile them "on the fly". Alternativly you can use grovyc to compile them to class files and put the class files in the jar file.
We do not have a gerovydoc implementation at the moment - it's on the todo list
On a project I work on, we use Groovy for a calculation component. We compile the Groovy using Ant and package up the class files in a jar. The jar is wrapped in an EJB. When compiled into .class files, Groovy integrates with Java seemlessly.