Folders, which have been a feature of iTunes since iTunes 5.0, serve as a means to better organize your music. For example, you could create genre- or artist-based folders with corresponding playlists nested within them. But moving playlists into folders isn't the most fun thing, and can be especially time consuming if you're going to be moving a bunch. Fortunately, the "Move Playlists to Folder" script provides a means for you to easily move multiple playlists over to a specified folder in iTunes.
First, download and install the script: the file should reside in your [username]/Library/iTunes/Scripts/ folder. After successful installation, the script will now appear as an item in the scripts menu. If you didn't already have any scripts installed, the script menu allows you to access and run scripts for a specific app.
This AppleScript, along with a host of many other iTunes script goodies, is available as a free download at Doug's Scripts. However, Doug would also be more than happy if you were generous enough to donate a buck or two to help buy him a latte.