Make a folder in pages

If you have just created a new Pages document, your first File menu > Save… activity will present you with a minimalized dialog. Click the down arrow on that dialog to open it into a larger version:

Once you have the larger dialog present, there is a New Folder button on its bottom accessory panel. Before you click that button, ensure that you are in the general parent folder (e.g. Documents, Desktop, etc.) where you want this new folder to reside. Then, you click the New Folder button and give it a name (e.g. MyFolder), and given the above image, you now have a MyFolder on your Desktop. You also have a remaining dialog showing MyFolder and you still need to give your Untitled.pages document a meaningful name. Then click Save to place the new Pages document into the new MyFolder.

All subsequent Pages save operations will remember and place Pages documents in that folder until you change the location.

Create a folder and place it in the Pages folder. Or create a document and save > New Folder.