The day I discovered this little time saver, I rolled my eyes in shame thinking about how much of my life I'd wasted doing it the hard way. I want to share a neat little Photoshop productivity tip for faster folder creation in the Layers palette. The method varies between versions (because of shift select functionality added recently to the Adobe Suite) but I'll show you how to do it in CS3 and CS1. I don't have a copy of CS2, so hopefully the (you) readers can help us with that in the comments.
Keeping your Layers palette tidy can save you time. Lets make it a little easier (and quicker). Instead of Adding a new Folder and then dragging layers into it, there is a faster way to create a group. Like I said before, it differs between versions, so I'll show you 2 different ways (CS3 & CS1).
In CS3, we are able to Shift + Select layers (as well as Command/Control + Select, which means your layers don't have to be in consecutive order to do this trick). So, all you have to do is Shift + Select the Layers you would like to group into a folder, Drag them to the “Folder” or “New Group” icon, and your done. Photoshop will automatically place the layers into a new Group.
CS1 is slightly different, but not much more difficult. Select one of the layers you would like to be in your group, then “link” the other layers you want in your group, to the selected layer. Now Drag the selected layer to the “Folder” or “New Group” icon, and your done. Photoshop automatically puts the layer you Drag into a new Group, along with all layers ‘linked' to that layer.