When you import a reference from a catalog or database, the reference arrives in the "Last Imported" folder. From there you can move it to the folder of your choice. (Otherwise, it will automatically transfer to "All Documents.")

RefWorks folders are listed in the left sidebar. Click + Add a Folder to add and name a new folder.

Once you create a folder, you can click on the citation you want to add to the folder, and drag it in.
