Unfortunately, the file organization features of the iPad are severely restricted. You've encountered the problem with photos but if you work with other types of files you'll encounter similar problems.
I haven't imported photos directly to the iPad from a camera. However, I have run into the broader issue of trying to organize photos in separate "albums." The short answer is that you need to get your photos on a computer and organize them into appropriately named folders there. At that point you can use iTunes to sync the folders and their associated content on your computer with the iPad.
Yes, I know this is ridiculous. Hopefully iOS 5.0 coming in the fall will alleviate the problem but that's not clear (at least to me.)