Almost all DSLRs do that.
by R. Proffitt - 7/26/13 8:50 AM
In Reply to: New Camera for specific use needs grouping ability by Nanaimo-Dale
http://books.google.com/books?id=uV8LAAAAQBAJ&pg=PA77&lpg=PA77&dq=dslr+select+folder&source=bl&ots=iZvnVRvTgn&sig=EvNzG_dCtc9iWlo8HPLGPxTVWLM&hl=en&sa=X&ei=BJryUY-WM4jIiwKV1oCICQ&ved=0CC0Q6AEwAA#v=onepage&q=dslr%20select%20folder&f=false and page up a little and you see you can set the folder.
Frankly I think this would get a little tedious and could tell what groups there are by the old school slate board at the beginning of the shoot. If you haven't seen one, here it is.