This is an old thread, but since no one posted a similar response, I'll add this as it's my preferred way of separation.
I find using dashes and such to be somewhat of an eyesore since it could fall short of the width of the selection box. So, I prefer to use CSS to create my separators.. a simple background coloring.
<select>_x000D_
<option style="background-color: #cccccc;" disabled selected>Select An Option</option>_x000D_
<option>First Option</option>_x000D_
<option>Second</option>_x000D_
<option style="font-size: 1pt; background-color: #000000;" disabled> </option>_x000D_
<option>Third</option>_x000D_
<option>Fourth</option>_x000D_
<option style="font-size: 1pt; background-color: #000000;" disabled> </option>_x000D_
<option>Fifth</option>_x000D_
<option>Sixth</option>_x000D_
</select>
_x000D_