I have always just dragged and dropped videos and movies into my sd card. You don't have to make a folder but it would probably help you to be more organized.
A small warning though, I tried to drag and drop a hd movie into my card but it didn't allow me to because it was over 4 gigs. I found out the reason why is because the card is under fat32 format and it won't allow you to drag and drop over 4 gigs at once.