If you want to create a room that appears as a child object of another room in a folder listing, simply use the backslash ("\") character when creating the room in WebCit.
For example, if you have a room called "saved conversations" and you want to have a sub-room called "fun club" underneath it, select "Create a new room" and then enter "conversations\fun club".
If you create nested folders using an IMAP client, this will automatically be done for you.