Hi David_1,
Thank you for using the Apple Support Communities! I understand you would like more information on how to create a new folder for your iCloud email account, and I am happy to help out.
Check out the steps found in this support article: Use mailboxes to organize email on your iPhone, iPad, or iPod touch - Apple Support.
- In the Mailboxes list (open Mail, tap Mailboxes at the top-left corner), tap Edit in the upper-right corner, then tap New Mailbox.
- Give your mailbox a name. If you have more than one email account set up on your device, tap Mailbox Location and choose the account where you want to create a mailbox (tap your iCloud email account from the list).
- Tap Save, then tap Done.
You'll also find more information in this support article, about moving email messages to a mailbox, deleting mailboxes, using the VIP mailbox, and more.
Kindest regards.