To create one, you just has to
1. Right click on any file of the Project navigator
2. Choose "New group" or "New group from selection"
3. Enter the new groups name
The folder could be nested. This is, inside one folder, there could be several other folders.
All this won't affect your code because the folders only exists "virtually". The XCode does not create real folder in the source folder, it just modify the file
This is a desirable situation because if the folders exists in the source folder file, for all the files which has been moved, any importation (import) related with them should be modified also.
This is the main reason why you are removing any folder, XCode does not ask you to choose between remove the link or remove the folder self.