AFAIK, you can't do it from the native OS. A Home replacement app like DxTop might be able to do it.
An app called apps organizer can organize all your apps by labels (categories), then you can view them in apps organizer by their label categories, or you can create folders on your desktop with custom icons:
The multimedia and the 4 folders across the bottom of the screen were created by using the long press on the home screen, shortcut, Apps Organizer option.
Additionally, when you open the App Organizer application, you get either an Apps view of all your apps or Label view. Label view might be what you want, the apps are grouped within the icon that they have been "labelled" under. So you will see a list like Multimedia, Apps, Utilities, etc. with the same nice icons as the screenshot above. Pressing on the label icon opens the list of icons within. Again, hard to explain but good in practice.
Screenshot doesn't work in this app with Home++, but here are some pics:
Apps view (note the labels assigned under the app names):
Label view (apps grouped by assigned labels):
You can then tap on each "Label" to expand the "folder" to see the apps within each category. You assign apps with more than one Label, give the Labels custom icons, rename the Label groups, add your own label groups, etc.