Adding app folders is not that different from what you'd do on a phone. You grab a tile, put it on top of another tile, and the PC creates the folder automatically. It sounds simple enough, but in practice the process is a little finicky. To get started, choose two apps that you want to put in a folder.
Start by clicking and holding one of the tiles until the others look a little transparent. Now drag the tile onto the other one. Note if you just drag it straight across to the other tile the second tile will often jump out of the way. That's because Windows 10's classic behavior helps you rearrange app tiles into a different order.
Your best bet is to drag the icon you're holding to the bottom of the other icon and moving it up. Once you've got one icon on top of the other, you'll see the bottom icon get slightly larger. Now just let go of the mouse button, and the folder will be automatically created. You can now also name the folders you create, but you have to expand it to see that option.