Just add the parens around the \1 in your replacement.
s/\(\d\{3\}\)\(\d\{3\}\)/(\1) \2-/g
If you want to go in reverse, and change "(800) 555-1212" to "8005551212", you can use something like this:
s/(\(\d\d\d\))\ \(\d\d\d\)-\(\d\d\d\d\)/\1\2\3/g
Instead of the \d\d\d
, you could use \d\{3\}
, but that is more trouble to type.