My X10 is coming today, but if its anything like other android devices I've used, you need to set up the folders on the online account e.g if it's Googlemail, then the folders need to be set up on there.
The device will then sync the folders. If you want to move between the folders just click & hold on the email and press "Move to..." and the rest is self-explanitory.
I'm sure I'll be able to work it out when it comes, so I'll let you know!