Ah, the joys of different Web browsers with different ways for you to accomplish specific tasks...

You're right. There is no menu option that immediately suggests it's how you can create subfolders, move bookmarks around, delete unused bookmarks, etc. Further, unlike Windows, Mac OS X doesn't let you "right-click" on a menu item and them delete that item from the menu (a nice, though little used feature of Windows XP and Vista!)

Instead, if you're using Mac OS X and you're running Safari 4 as your Web browser, what you need to do is either choose "Show All Bookmarks" (do it in a new tab so you can flip back to this page for reference, if you'd like) or click on the handy little "book" icon on the leftmost edge of the Bookmarks Bar, as I've circled here:

Once you click on it (or choose the menu item) you'll find that your browser window has changed rather dramatically:

This is the main bookmark organizational window you'll want to work with.

For example, to delete or copy a bookmark, just Ctrl-Click on it:

To add a bookmark folder, we're back to the "Bookmarks" menu:

The new folder shows up in the organize bookmarks view as you'd expect, on the lower left:

At this point simply type in the name you'd like the folder to have (I choose "Cool Stuff" for this demonstration), then click on the Bookmarks menu or Bookmarks Bar option and drag the folder from the left to the spot you'd like it to reside:

Once that's set, you can simply drag and drop any bookmarks you want into the folder and everything will be neatly organized. If it's on the Bookmarks Bar, you'll find that it shows up with a small black triangle adjacent to the name, letting you know it's a folder. Click on it and:

Neat and simple. When you're done, just click on the little "book" icon again or just double-click any of the bookmarks.