Hi Marc,
We don't currently support this type of organization for searches and reports. As a workaround, you could build an App with custom menus and views to organize your knowledge objects (http://docs.splunk.com/Documentation/Splunk/4.0.11/Developer/TieViews).
You can also file an enhancement request by submitting a Priority 4 - Enhancement Request ticket at http://www.splunk.com/index.php/submit_issue