Once you save your migration scripts, you can organize them into subfolders under the project's migrations folder as you like.  All subfolders will be processed.  The Order of Execution for migration scripts still relies purely on the version number in the script regardless of what folder it is in.  

After opening a project, use the folder icon in the top right to jump to your project on disk and get to the migrations folder.  Create and move your scripts into subfolders to organize them:

If you would like to see this capability within the GUI, please vote/comment on our suggestion forum.