Answer
You don't manually create folders for this — the folder structure shown in the Database Task's method-selection tree is automatically derived from the Module and Logical Unit specified in your custom PL/SQL package's own specification (header). Once your custom package correctly declares the Module and LU it belongs to, it will automatically appear filed under the matching folder in the method list — you may need to refresh the Dictionary cache after deploying a newly-created custom package before it actually shows up there.