Do you have 10.4? If so, use Automator to create a Finder plug-in that does the following options:
1. Get selected Finder items
2. Move selected Finder items (ensure you select the Show Action when Run option).
3. Save this with an appropriate title as a Finder plug-in (File>Save as Plug-in>Plug in for: Finder)
Note, this will do what you are wanting, just not in quite as elegant manner as you might hope for. What will happen is, you will select your items in the Finder, right/ctrl-click to get the contextual menu, then pick your plug-in from the Automator sub-menu. This will open a dialogue that defaults to the Desktop as the move location. You will then have to select Other from the pop-up menu, which will open an Open dialogue. In that dialogue, you will then have to navigate to the location where you want the new folder of files to be created, click New Folder in the bottom left, name your folder. Click on Open in the bottom right and then Continue in the original dialogue. Your files will now be moved to the newly created folder in the location you selected for that folder.
N.B. This sounds far more complicated than it actually is!! However, it is free and does the trick.