Creating folders by merging files [using cmd+g shortcut].

you can certainly do that but clarify what you mean by cutting and pasting to an untitled folder? I don't use Photoshop so a more descriptive explanation would be helpful.

...like Photoshop does with merging layers to folders.

Is this the feature you are talking about?

http://help.adobe.com/enUS/Flash/10.0UsingFlash/WS15FC055E-BC0A-45f6-99E4-F6D1A238DCB5a.html

Should be straight forward...consider a similar message in the AppleScript forum:
http://discussions.apple.com/forum.jspa?forumID=724

See you there, thanks.

that would be very easy.
just make a service using automator set to accept file and folders. the service itself should consist of a single action "new folder". in that action in options check the box to show this action when workflow runs. save the service. that's it. it will available from the right-click menu and copy selected items to the new folder. you'll have to specify the name and location of that folder in the popup it will give you every time you run the flow. you can bind a keyboard shortcut to it in system preferences->keyboard->keyboard shortcuts->services.

you can do it as follows. add the following two actions to the end of your workflow
2. get selected finder items.
control-click on this action and select "ignore input"
3. move finder items to trash

this will move the selected items to trash after copying them to the new folder.