You can't do it from the Gallery, but you can do it from My Files. My Files is in your app drawer. You can add folders and move pictures or any other type of files you might want to organize. Once you finish moving files, the media scanner will run and the folder will show up in the Gallery.
Again, in My Files, when you're in the folder with the files you want to move, press the menu button, More, Move. You'll see a check box next to each file. Just tap the check boxes of the files you want to move, then tap Move.