Eyup TE,

They are natural grooves. There are a few northumberland stones that have similar grooves, though none as nice as Duddo.
E.g.:-
http://www.themodernantiquarian.com/site/276
and:
http://www.themodernantiquarian.com/site/3340
to a much lesser extent:
http://www.themodernantiquarian.com/site/3303

I think they're the same fell sandstone that the rock art scarps are made of.
I suspect they were quarried from outcrops on the scarps, rather than having been glacial erratics. So far I haven't found the nearest placeto the circle, the closest I've yet seen is a few miles away at the Bowden Doors.
I'm also pretty sure the Duddo stones were eroded before they were quarried for circle duties, as the one at the Bowden Doors looks very similar. Probably a bit more groovey for having had a few millennia of weathering.

>Inquisitively yours for such a late hour,
TMA: e-home for discussions of jet-packs and rocks on a saturday night ;)