I see in my user cp that I can put my subscription in folders. I created a folder but how do I check on the thread to put it in the folder?

This path should do it.

UserCP
..View Subscribed Threads
....Check box to the right of the thread you want to move
......Scroll down and click the drop menu "Move to folder"
.........Scroll down and click the name of the folder to move to and click to move items.