You can do this with an application called App folder if you have the Lumia
Amber update. To check if you do, follow these instructions.
Then install App folder. This app will allow you to create a folder with a selection of apps in it.
App Folder. A new Start screen feature for grouping similar apps and settings, making it easier to personalize and organize your phone.
Thanks to @caschw I've realised that the below information is incorrect, but I'll leave it here so his comment makes sense. The post was update to the
The upcoming Nokia release "Lumia Black" looks to deliver this.