First you need to enter in the Select Mode. To do so, either long click on a photo or click on the Select button (in the Header)
When you select multiple photos and click on the Folder button (in the header), you will be given the option to Create a New Album or move/copy to an existing album.
If you Create a New Album and if tou have an SD Card, there will a ticker to enable the creation of this album on the SD Card. The new album will be located in the Pictures folder on the SD Card.