You can do it, quite easily, however, I'd recommend the use of Smart Folders over the use of Sub Folders.
Smart folders are like automatic filters, like rules in most mail programs that sort your mail into subfolders, but everything still stays in your inbox instead.
You simply click on a smartfolder and it will display every message that meets the criteria you've set up.
I use them exclusively because I have several freelance design clients, i find it easy to sort them this way.