To add a folder, from within the Documents tab:

1. In the left navigation panel, click on the fileroom or folder that you would like to add new folder(s) under.
2. Click Add in the toolbar and then select Add Folder. 
3. Enter one or more folder names. To enter more than one folder name, separate them by pressing 'Enter' after each name.
4. Choose the desired publishing and permissions settings.
5. Click Save.

In the Sandbox new folders inherit permissions set on the parent folder, or fileroom.