Can't do it in the stock HTC Gallery, but if you download QuickPic from the Google Play Store, you can move your pictures to any folder you want to, and it offers hiding images with a password you can set.
Sent from my HTC Vivid WCX using Android Central Forums
Use the cable that came with the phone and hook the phone to your computer USB port. Choose the disk drive option. Once your computer has recognized the phone and SD card as drive letters, you can the use Windows Explorer to move any of the photos around on your phone. IIRC, there's an option for the camera that says where you want the photos to go. Choose the SD card for future pictures...if that's what you want.