I don't think there is any way of creating folders through the IDE GUI, because file in subfolders do not get compiled, so we figured that it would be misleading.
You can create folders from the console at the bottom of the IDE:
mkdir -p projects/yourProjectName/yourSub/Folder/Folder
but I guess then you would not be able to access those files from the IDE. Again, if you want to copy files to the subfolders you'd use cp or mv at the console