This is easy, but could be involved, depending on your situation:
Suppose you are using Integrity 10.4, and in your sandbox you have a subdirectory named "alpha":
- Select all the members in the "alpha" subfolder (I think this works in the sandbox, as well).
- From the menu, choose Member -> Move.
- Hit Next >.
- In the "Move Members Wizard" dialog, note the "Source Sandbox Name" and "Destination Sandbox Name" are the same.
- In the destination directory dialog options, add the subdirectory name "alpha" (the name of the current subfolder)
- Set "Create Subprojects" option (hit Options >> to show the options).
- Accept the changes by hitting Finish.
This should create a subproject with the same name as the subfolder.
Disclosure: I work for PTC Integrity Support.