使用list comprehension:

cols = ['lvl1','lvl2']
k = ['{}_avg'.format(x) for x in cols]
df = df.join(pd.concat([df.groupby(c)['wgt'].transform('mean') for c in cols], 1, keys=k))
print (df)
  lvl1 lvl2   wgt  lvl1_avg  lvl2_avg
0  l1A  l2A  0.20      0.25  0.216667
1  l1A  l2A  0.30      0.25  0.216667
2  l1B  l2A  0.15      0.15  0.216667
3  l1C  l26  0.05      0.05  0.050000
4  l1D  l27  0.30      0.30  0.300000