[Lucas]

If you're creating a new project, you can type the new folder name(s) and the new project name (separated by the hierarchy separator) into the project field and hit apple-return to make the new folder(s) and project (or if you match an existing folder, to make a new project inside the specified folder).

If you have existing projects that you are moving into folders, you can switch focus to the sidebar and use the keyboard shortcuts that are in the Edit menu to move projects up and down and make new folders from the keyboard.