Horse has two ways to group Trails® together: Folders and Trailheads. They look similar at first and people often ask which one to use. The short answer: Folders for related research, Trailheads for whole parts of life.
Folder vs Trailhead
A Folder is a Trail that starts with a folder rather than a web page. It groups related Trails®, such as every Trail you’ve opened while planning a trip or every Trail about a single client.
A Trailhead is a top-level container with its own header. Most people end up with one for work, one for personal stuff, and maybe a third for a side project. Each Trailhead can hold Trails®, Folders, and Notes.
Folders and Trailheads exist because early users kept asking for them after spending an afternoon in the sidebar. The shape of the request was always the same: “I have a lot of Trails on the same theme. I want them grouped.”
How to Create A Folder in Horse
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To open a new Folder, click on the folder icon at the top of the sidebar

Opening a new folder in Horse -
Write the name of your Folder and hit Return to save

Folder feature open in Horse with space to write Folder name -
Scroll over the Folder and click + to add a Subtrail in your Folder. Or use ⌘+⌥+T. You can also add a Side Trail by using ⌘+⌥+⇧+T.

Folder feature with new blank Trail open below -
Alternatively, simply drag-and-drop Trails, Folders or Notes inside
How to Create A Trailhead in Horse
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To open a new Trailhead, click on the icon on the left at the top of the sidebar

Opening a new Trailhead feature in Horse -
Write the name of your Trailhead and hit Return to save

Trailhead name input field in Horse -
Scroll over the Trailhead and click + to add Subtrails to your Trailhead. Or use ⌘+T. You can also add a Side Trail by using ⌘+⌥+⇧+T.

Folder with expanded blank Trail open beneath in Horse -
Alternatively, simply drag-and-drop Trails inside
More
The Trailheads, Folders and Notes guide is the more thorough version, with screenshots for each container.
