Go to Audience > Segments.

Select ADD A NEW FOLDER.

For Folder name, enter a name for your new segment folder.
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Select ADD.

Go to Audience > Segments.

Select the check box for the segment you want to move.

Expand the MORE ACTIONS menu, and select Move segments.
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Expand the Select location drop-down menu and choose the folder you want to move your segment to.

Select MOVE.

Go to Audience > Segments.

In the left column, hover over the folder you want to delete, then select the trash can icon.
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On the confirmation, select DELETE.