As of now, the snippet menu does not give an option for this. But you can create a package and then go to your Snippets directory and move the snippet file inside the package folder.
For example, I create a package mySnipPackage in Snippets view.I already have couple of snippets in my snippets directory say C:\mysnippets.
Now move myDump.xml (snippet for inserting cfdump tag) in C:\mysnippets ro C:\mysnippets\mySnipPackage.
Refresh the Snippets view in CFBuilder.
Thank you for your answer. I thought there is a more comfortable way.