From a Home screen, touch and hold a shortcut (e.g. Email).
Drag the shortcut on to another shortcut (e.g. Gmail) then release.
A folder containing the shortcuts is created (titled Unnamed Folder). The folder can be re-named.
To remove items from a folder, touch and hold the applicable item (e.g., Email, Calendar, etc.), drag it from the folder then release anywhere on the screen.