Even if your player supports folders it may not also support sub-folders (ie folders within folders) if that is what you're trying to do.

If it doesn't support folders you'll have to tag each file so that the player will then sort the tracks according to the tag info -- artist, album title, song name, genre (such as Gospel).

I reluctantly use TagTools for one of my players which does not support folders -- not because it's a bad program but because tagging is a bore. I much prefer players which support folders.