Why is it when this question is asked everybody responds about syncing to a computer and not Astro file manager? I have an old PC running Windows 2000 which will not sync to my phone. It took me nearly 3 weeks to get this answer, I was running from Sprint store to Sprint store, and asking on these forums before someone finally told me.
OP, if you want the phone to do it without the need for a PC, go to the Market and install Astro file manager. It's a great program that lets you organise your photos anytime, without the need for a computer. DCIM is the folder your phone puts photos taken by the camera by default. If you want family pics seperate from misc. pics just open Astro, create the new folders, go into DCIM and edit<move the photos you want, then back to the new albums and paste.
EDIT: Wow, just realised that this thread was resurrected from 2 months ago, the OP has probly already figured it out.