As you've figured out - you can add photo's from your computer, through iTunes, to the iPhone and have them grouped into "albums" but you can't organise the photo's you've taken with your iPhone into different albums - without copying them back to the PC first, then syncing them back through iTunes to different albums.... Also as said, you can have a second camera roll (if your phone is jailbroken) but you can only view one at a time - I found it a pointless app...

The "Folders" app is nothing to do with photo's, it's for organising apps into single folders