Here's one approach, assuming your data set is already sorted:
data want;
set have;
by memb_id;
dif_date = dif(enroll_yrmo);
month = mod(enroll_yrmo, 100);
if first.memb_id then do;
group=1;
return;
end;
if month > 1 and dif_date=1 then return;
if month=1 and dif_date=89 then return;
group + 1;
run;
Since you described the result, but didn't illustrate it, here's what this is doing. It assumes that a "gap" means that a year/month is missing from the sequence (for the same value of MEMB_ID). It creates a new variable (GROUP) that is 1 for the first set of sequential observations, but increases whenever a gap is found.
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