By default you should have at least one den folder, and you can buy more at the bottom of your den page for 10 apples.
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To access the manage folders menu, just click the button 'manage folders'.
This menu allows you to buy, create, delete and edit folders.
To move a wolf to a folder, hover over the 'quick view' button to bring up the extended info, and then select your folder from the drop down menu
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If you're interested in what features premium vs basic members have, I'd recommend checking out the
game guide.