One of the annoyingly missing features in Power BI is the ability to organize fields into folders to allow users to easily find them. Luckily the amazingly animated Will Thompson posted an update on Power BI Ideas, which has received over 400 votes, that it has been developed and is available as a preview feature in the Nov'18 Power BI Desktop release.

The display folders are part of the new modeling view. Impressive as it is, I do which you could create folders within main fields - my initial thought was to right-click, at the top to create a folder then drag the field into the folder - however the correct method, at least for now, is to go to the new modeling view, select the field, then type in the required folder. This mirrors the way you do it for measures in Multi-Dimensional modeling.