musio's answer only works if your syncing to a MAC using the Mac photo tool.
If you have PC you'll need to use Photo Shop to create folders and
put a least on photo in the folder for it to be put down on the iphone.
At least that's what I was told for prior to 3.0.
Why with all of the cleaver people they have at Apple they could have put
folder creation etc. I was hoping it would be added with 3.0 but no.
Clunky just good enough software is something I expect from Windows not
Apple.