Become a MacRumors Supporter for $50/year with no ads, ability to filter front page stories, and private forums.
I did so on my 3gs. Hold down on an app until it wiggles and drag it onto another app you want to put it with in a folder. The icons will change, let go and now you can rename that folder to whatever you want and add up to 12 apps in that folder.
 
Register on MacRumors! This sidebar will go away, and you'll see fewer ads.