Alright, ya bunch of whiners, I have implemented private message folders. You'll notice the "add a folder" link under your "You are here -->> blah blah blah.... click here to view sent messages," etc.
Now, the PM folder has a dropdown box. Change it from Inbox to one of your newly added folders, and voila! You are there.
To move messages among folders, scroll down to the bottom of the page. The old mass delete option has been updated to a "move to folder" option. To delete, simply leave it on trash. To move to a new folder, pick the appropriate one from the dropdown.
Wanna kill a folder? Navigate to it and use the "delete folder" link that appears where "add a folder" goes in the regular inbox. If you goof up and delete a folder without moving the messages first, have no fear - they are simply returned to your main inbox.
You cannot delete your main inbox, no matter what you do, so don't even try, Grugg.
There ya go, folks. Organize your PMs to your little heart's content.