Nokia adds folders functionality to group apps and settings into a folder that appears as a live tile in the Start screen in the latest Lumia Black update for Windows Phone 8, which is being rolled out today to the Lumia 1020 and Lumia 925.
Although, you need to have a Lumia device with the latest Black update, in order to stack settings and apps, you also have to install the App Folder add-on which you can easily download now from the Windows Phone Store.
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For now only the Lumia 1020 and 925 can take advantage of folders in Windows Phone 8, other Lumia models will be able to get the functionality in the coming weeks.
Source Nokia