Organizing projects into folders
Folders are a convenient way of separating your projects, the same way you use folders to organize files on your Mac. For example, you could keep folders for each area of your life: perhaps Home, Work, Health, Education, Recreation, and Papier-Mâché Pterodactyls. That way, when you're concentrating on one area, you can keep just that folder expanded in the sidebar, or use the Focus feature to hide the others completely.
To create a folder:
Make sure you are in planning mode; the view switcher in the toolbar should have the Planning icon highlighted: 
Select the item just above where you want the new folder to appear.
Click the Add Folder button below the sidebar.
Name your new folder.
To put something (a project or another folder) inside your folder, just drag its icon onto the folder in the sidebar. You may have as many layers of folders as you can stand.