Adding existing songs to a playlist folder is simple. You've got a few options:
Drag & drop
To move a single song, simply select the song by clicking it outside of the title and drag & drop it into the playlist folder.
If you'd like to drag & drop multiple songs, select them by command+clicking them and then drag & drop them into the playlist folder.
Add to folder action
To move a single song into a playlist folder, right-click the song and select "Add to folder":
You can also add a song to a folder by clicking the More options button in the song header and selecting the Add to folder option.
To move multiple songs, select the songs by command+clicking them and click the "more" button that appears in the toolbar above the list of songs. Then, click the Add to folder option from the menu.
After performing any of these actions, select the folder that you'd like to move the songs into.