How do I create a new folder or subfolder along with a new page?

To create a new page within a folder that does not exist yet, simply specify the folder before the new file name and separate them with a back slash. By specifying a non-existent folder, DryDock knows to create it for you.
For example: foldername/index.html will prompt DryDock to create the page index.html in a folder named foldername.