I was pretty annoyed too about not having folders. Now I just combine all the books by one author into one file and change the bookmarks in the PDF file so that each book is its own chapter. It makes scrolling through my books a lot faster.
For example, I had all 7 Harry Potter books as separate files on my nook. Now I have just one file called "Harry Potter 1-7." When I open the file on my nook and click "go to" then "chapters" I see "Harry Potter Book 1", "Harry Potter Book 2", etc instead of "Chapter 1", "Chapter 2", etc.
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