All of the pics I have are in one album--"SAVED". How can I create other albums and move photos into new albums?

You create folders with the photos you want on your computer. Then you go into iTunes, with your device connected, and selected. Go to the Photo page and set up to sync with those folders, and sync.

Any changes you want to make to the albums (other than Saved Photos) have to be made in the folders you are syncing with on the computer.

If you have a Mac and the iPhoto program, you can set up albums there and choose which ones to sync in iTunes, same place.