I tried your suggestion, but now I can't see any of the messages in my Inbox or in the NewFolder, and I can't delete the NewFolder. In short, I've lost my mail. :-( Got any suggestions on how to get this straightened out? I'm using OS X Mountain Lion.
This can be done easily, though it's undocumented. When you create a "new mailbox" Type Inbox/NewFolder and it will create NewFolder under your Inbox as expected. Took me a couple hours to figure out, but definitely works.