Go to the File window in a iCloud compatible app and choose “Open” (or “Save”), then select the ‘iCloud’ tab to bring about the iCloud file managerMake note of two files you’d like to join into a folder (don’t worry, you can add more files to the folder once it has been created)
Drag and drop one of the files onto the other – just like in iOS or Launchpad – to create a new iCloud folder from the OS X iCloud browser
Name the iCloud folder as appropriate, then use drag and drop to add more files into the folder from iCloud if desired.