I see that users have been asking for subfolders for saved mail for years with no apparent response from AOL. This should not be a big deal to set up.
Bert & Lori Schoose commented
To create a sub-folder, I put my mouse over an existing folder so it is highlighted and then I right mouse-click on it. At the bottom of the resulting list that pops up there is a "create subfolder" choice. I click that and it creates a sub-folder below the folder previously created.
I've been able to do this for years. I hope this helps with what you seek.
Sharon Brant commented
We need subfolders inside any folder. It does not make sense to create a new folder any time without the chance to group them!