Organizing files in Pages

When you Save, or Save As (with option key) in Pages, the save panel may be initially collapsed as shown here:

When you click that arrow button, the Save panel expands to give you a Finder-like Favorites side-bar, and a New Folder button on the bottom of the panel.

You navigate to where you want to create a new folder that is to contain your current (or future) Pages documents, and then click New Folder. Give your new folder a meaningful name. A blank panel will appear where you save the current document. Future Pages Save events will remember this same folder location, as well as this expanded Save panel setting.