The smallest groupings of test expressions are the methods that you put them in. Whether you use JUnit or not, you need to put your test expressions into Java methods, so you might as well group the expressions, according to any criteria you want, into methods. For the purpose of this document, I will call a method that runs test expressions a "test method".
If you have 20 different test expressions to run, and five need to run over a single URLConnection, then it would make sense to put those into one method where you create the URLConnection, run the five test expressions, then clean up the URLConnection. The other methods may be in other methods in the same class, or in some other class. You have to pay attention to whether the different expressions should be run independently. Often test expressions have to be run sequentially with one set of resources-- that's what I'm talking about here. This all applies whether you are using JUnit or not. The point is, if a set of test expressions needs to be run sequentially using the same resource instance(s), they should be grouped in one method.