Hi,
I don't think SDW has consistency group feature (unlike SDU).
Have look at this (a bit lengthy) discussion around consistency groups (in SnapMirror context, but still applicable I believe):
http://communities.netapp.com/message/15887#15887
Is there any particular kind of data / application you want to protect? E.g. SMSQL will do the trick, i.e. can create a consistent backup, even if a single database spans multiple volumes.
Regards,
Radek