Say you have two apps you want to put into a folder, just drag one of the app icons and hold it on top of the other. The bottom icon should react to this - on my setup it gets a bit bigger by gaining a grey outline - which means you can now drop the top app icon 'into' the bottom one, thus creating a new folder.
My above post was for apps on a Home screen. I've just realised that you probably want apps in the app drawer.
@The_V: To create a folder in your Apps menu please go to Apps > Press and hold on an app you would like to move to a folder > Drag that app over one of the apps you would like it grouped with > This will create a folder. From there, simply drag any further apps into the folder, which will now be visible in the Apps menu. Enjoy.
Edit: For an alternate approach, see the steps provided by @ash2020
For me, long pressing on an app in the App Drawer takes me (and the icon I'm pressing) out of the app drawer and to my most recent Home screen. I get no chance to drag it onto another app in the App Drawer.
OK, mystery solved. I was pressing for too long. It seems that you have to be quicker than I normally am in order to be able to drag and drop within the app drawer. Conversely there is no time limit on Home screens.
Or press on the app in the app drawer, drag it to the top of the app drawer, it will go to the home screen, then still holding it, drag it to either the folder you want, or on top of another app to create a folder. (You might have to chase the app around for a few seconds) I have about 80 apps on my phone, all on one screen. I hate flipping back and forth trying to find one app.