I have found examples here: Android - Intent that open widget context menu and here: http://coderender.blogspot.com/.
The first one launches the widget picker, but goes it goes away when you select anything. The second one lets you pick a widget, but it shows it in the application view. Is there a way to call the widget selection from a button in an app but still have the main screen on the phone be the AppWidgetHost?
It may be me misinterpreting things, but it looks to me like the AppWidgetHost has to be the application where you are calling the widget selection menu.