Do you mean a folder within the photos app?
Or a folder on your hard drive.
If on the drive then you need to select the images then file>export. Select jpg as kind, choose the other options, then click export and select the folder to put them in.
If you mean a photos app folder, then first you need to create an album inside the folder, then drag the photos to the album. Note this will not be a MOVE. Photos only keeps one copy of each photo, and they are always in the library view. When you add them to an album this is not creating a copy, the album is effectively just a list of items to view.