Keep in mind that they're not exactly like folders.
Instead of placing them in a single folder, you can assign any number of labels to them. If you want messages to appear under a certain label, but not under the default label, you'll have to remove the inbox label after assigning them a different label.
Don't worry about removing all labels from a PM. If a PM has no labels remaining, the inbox label is automatically assigned again.
Do not make more than 60 labels. The system will bug out afterwards.