Hi Kumar thanks for posting in the Lucid community! Unfortunately the creation of folders in the "Shared with Me" section of your document list is currently not supported in Lucidchart. However I can certainly see how the option to organize these documents would be helpful!

Would you mind adding your idea to our feature request form? Ideas submitted to this form are passed on to the product development team for their consideration.

As a workaround it may be easier to locate your documents if they are displayed as a list (circled in red in screenshot) or if you select an option to display by name or modified date or even by product. For more information please see the Organize your documents section of the Lucid Homepage article from the Lucid Help Center.  

Thanks for your request and I apologize for any inconvenience this causes you. Please feel free to share any questions or thoughts you have in this thread. Hope this helps!