An easy way to do this is to add a new product attribute that is searchable, but otherwise not displayed on the front-end. For each product, add the sku (and any other search terms that might not be in the product name or description, separated by spaces) to the new product attribute.
Of course, this is easy if you only have a handful of products in your store… with several hundred (or thousand) products, it’s not so easy. My plan is to use Magento’s import function to import the sku into the new product attribute. I am starting from scratch (no products in the store right now), so it should be relatively easy to accomplish. I don’t know, but it might be fairly easy to setup the product attribute, export all products from Magento, populate the new field in the dresulting file by copying from the sku column, then re-import back to Magento. Haven’t tried it myself.
It would be great if there was a setting that included the sku of simple products that are part of grouped products. Maybe it’s a simple mod that someone can perform. I might give it a shot myself if I can find the time.