Super easy really. Go to your Private Message area. Look to the left and you will see in that list "Edit Folders". You can put in folder names there, edit ones that you have already created, etc.

Then when you check your Private Messages and you check the drop down menu that says Jump to Folder, you will see listed as well as Inbox and Sent Items, any custom folders you have created and can go re-read PM's you have sent to that folder.

To send a PM to a custom folder, simply put a green checkmark in the box to the right beside the PM listing. At the bottom of that page choose Move to Folder, then click Go. You will then have a choice of which folder to move that PM (or multiple PM's) into.