A very easy rule would be to move posts from people you PM with frequently to their own group. Say, as an example, you wanted you group all PMs you receive from me.
First, in your Messages page, you click on Manage Labels at the bottom left. At the box called Label name, you enter something like: PMs from Xillen. Then click Add New Label.
Then, still in your Messages page, you click Manage Rules at the bottom left. Then click Add New Rule at the bottom right.
Name of the rule is something you can recognize it by. You could call it something like "Sorting Xillen's PMs". This is just a description for yourself.
Set "Choose Criteria" to "Sender Name" and fill in "Xillen" in the box after it.
Under actions, choose "Label message with" and then choose "PMs from Xillen" or whatever you called the label.
Then click Save Rule at the bottom right.
From then on, all PMs I will send you, will arrive in the "PMs from Xillen" box, and no longer in the regular inbox. All PMs you already have will be untouched.
By returning to "Manage Rules" in the bottom left, you can apply rules to messages that are already in your inbox since before you wrote the rule.
Simply select the rules you wish to activate retroactively, and then click Apply Rules Now in the bottom right.
A note on the "When Checking Criteria", this is basically an AND or OR option. For example, if you want PMs from three different people all in the same box, you only need one rule for that.
Simply click (Add Criteria) twice, choose "Sender Name" for all three lines, and enter one nickname on each line. Then set checking option to "Any criteria can be met", so if the PM is from the first user OR the second user OR the third user, it will trigger.
Just replace Xillen by someone you PM with and see how it works. From there on, just play around with the criteria settings to see which options you have, and how you can use them.