I don't think there is a way to do it default on Honeycomb, but you can search in the Market because there are folder applications.
Refer to this thread for some suggestions: http://forum.xda-developers.com/showthread.php?t=1084569
If you are referring to the standard Honeycomb background, then here is how you do it:
1) Click the + next to the apps on the top right.
2) Then select wallpapers