As BnB said, creating a folder via your PC (in USB mode on your SD card) will give you new folders. You can then place whatever you like for artwork in those folders. Android's gallery will automatically add any images to your gallery that it finds on your SD card.
... also on a side note... if there's ever a folder that you don't want the images to load into the gallery.... create a file called ".nomedia" (minus quotations) and place in the folder. This will essentially hide it from the gallery.