To check whether it is reasonable to linearize age this way, you could either
1. do a pure error test (essentially an F test based on the
difference in residual SS from treating age as linear minus the
residual SS from treating age as a factor as in ANOVA, then adjusted
for the difference in df) or
2. simply add an age^2 and possibly age^3 covariate to the model.
These would pick up the grossest deviations from linearity. Test
whether these higher-order covariates are needed. Even if they are
it will still take up fewer df than treating agegroup as a factor
and has the advantage that you can still test for interactions such
as sex*age sex*age^2 without the problem of empty cells.
This approach doesn't always help but it might.
-Barry