Create folders in your left nav to organize your chats. Hover over the chat you want to move into a folder and click on the three vertical dots (Figure 1):
Figure 1 Three Vertical Dots
Select Move to new folder, name your folder, and hit Enter (Figure 2):
Figure 2 Folder Selection
You can also move chats into an existing folder by dragging and dropping them into the folder or by using the menu to select the folder.