You need the very latest update to Pages to be able to do this. If you have this latest update, then press and hold any document in the My Documents view until they start to jiggle, then drag one 'jiggling' document over another and release and a folder will be created containing those two documents. You can drag other documents in the same way. Press the Home button when you've finished. The procedure is the same as for creating desktop folders...
Tim
