Just connect your phone to your computer and then through iTunes just select your phone followed by the Apps tab. You'll see screen shots of your home screen and you can manipulate your apps and where they are located quite easily there.
If you want to create a new folder for just a single app (as a starter) just merge it with any other app. You can then rename the folder and then just remove "the other app" and put it back into its original location. Viola! You have a folder with your first app in it!!!