I knew, I had read something, some time ago about the folder creation by key shortcut:
Ken Rockwell: "6.) Bring back the pro trick that holding the "Key/?" button as you turn on the power creates a new folder and saves the new images you make to it. This is extremely handy in cameras that have it because when you load the images into your computer they already will be sorted into folders. I find this extremely helpful, and much faster than creating new folders in the menus."
The link to the site is here:
http://www.kenrockwell.com/nikon/d700.htm
It is a D700 writeup with a suggestion, to bring this nice feature back to the new cameras.
I don't have my Nikon DSLR at hand now, but it is worth a try, which bodies can still pull this trick. I suppose at least the D3 can - this would explain, why I ended up once with several folders on the cards by accident.
I will have a try at the D3 and D300 later.