How do you create a new folder to store pics in in the iPhone?

I've got a 3 and there doesn't seem to be the option to do it on the phone, but I had 4 folders originally and the pics used to go into random folders and they were unable to be moved between the folders but I could move them between the folders if I hooked the phone up to the computer and did it that way

When I did the last update only 2 folders remained one with all the pics in it and one with just a single pic in it

So can I make a new folder without resortingto plugging it into the computer or not?