Trying to create folders in heirarchy

Trying to do this in World Outliner:

Single-poly-WorldLocatorActor
|
LightingFolder
|
Light 1,
Light 2,
Light 3,

So that when I rotate World Actor, the lights rotate. And I can collapse the light folder so that all lights aren’t listed.
But I can’t attach a folder to an actor, and I don’t see how to create a folder under an actor. How can I group attached items into folders?