The only way I've found that this is remotely possible is to create folders on the sd card. The gallery will detect them and show them. However, this doesn't mean that you can control where your camera pics are stored.
For instance, if you save a pic from Opera Mini, it creates a folder called 'sdcard'. If you delete the photo in any other album, eg. 'All pictures', it just won't delete it. You also don't get to move pics to other albums without doing so manually (ie, desktop to mounted sd card)
Now, that being said, I may have a bad sd card. Which is why I came to android forums today ...