I have finally figured this one out. You *can* create a new photo album with Astro on the SD card. I have *not* figured out how to do this on the HTC Incredible itself with Astro, but I have using a PC.
Album names on the SD card must be in the ROOT DIRECTORY of the SD card.
That is: f:\album_name where f is your drive letter for the SD card when the Incredible is attached to the PC in drive mode. (There's no reason this wouldn't work on a Mac either).
I also know that when in drive mode, you can make a new folder in the "root directory" of whatever drive your Incredible is called and that will show up in photos as an album on your phone, but I cannot figure out how to navigate to it via Astro when disconnected.
Disregard all the other messages (or weblinks) talking about putting the folders in \DCIM\100Media or \Camera. The Incredible won't see 'em there.
It *will* see the images, whereever you have them stored, but it won't understand your album hierarchy unless you store the images in directories as I have described above.
Maybe somebody can write a better app, but that's what we've got right now.
Harold