Grog is a man-made, sand-like product. It is made from fired pottery, crushed and screened.
Sold by the pound.
Some folks expect their nozzle apertures to close a bit with the clay's expansion. So, right before flight, they open the hole up to the correct diameter with a hand-twisted drill bit.
Wax makes the clay much less prone to this problem. Also, the clay alone, when pressed, forms a smooth, glossy surface; and nozzles and plugs have been known to get blown out of the tube by the pressure of the fuel burning. The grog in this mix really helps the nozzle 'bite' into the side of the tube and resist blowout.
The grog also helps the nozzle resist erosion of the hole during motor burn, whereas without the grog, the clay can wear away some and the nozzle aperture (hole) opens up some during the motor burn, which reduces pressure and thrust.
Check out this great article using grog: