It took me some clicking about to make it work. Point your mouse to "My FA". From the Drop-down menu, choose "Page Management". From the sub-menu, chose "Gallery Folders". You can then create folders. Then click "Add Submissions" to choose submissions you want to add that folder and follow the directions. Best of luck. And, yes, they should have provided better directions with the announcements.

After following all the steps, if you then click on your Gallery tab, you should see a list of folders on the left.

Ah, thank you!