Just create a folder on your SD-CARD and put photos in it. Reboot your phone (I know silly) and open the gallery Wha-La A Album. The name will be the name of the folder.
Initially I used ES File Explorer app to create my picture album folders and then using ES moved the picture files to the album I wanted them in. I now use QuicPic app to create any new picture album folders and also to move pictures where I want them.
I think both were free apps, I like those the best.