Hi! I had a hard time finding the process for that on my HTC DNA. The solution on my phone was to open the photo for which you wanted to make a folder and press the 3dots (menu, hamburger). Selecting the option 'Move to folder' produces the names of existing folders (if any) AND the option to make a NEW folder. Select NEW Folder and go from there. Again, it may not be the same on your phone, manufacturer or OS.
When all else fails, you can always read the manual. I found searching for manuals from the VZW website to be frustratin so I always download mine from the manufacturer website. Good luck & I wish you success!