Microsoft To Do recently rolled out support for creating groups of lists. This feature lets you tidy up your navigation menu by nesting related task lists under named folders.
To create a group, press the icon to the right of the "New list" button in To Do's navigation. Next, type a name for your list group.
With the group created, you're ready to add some lists to it! Drag and drop any of your lists into the panel below the group's name. They'll now belong to the group. You can click the group's name to hide or reveal the lists which are within it.
Groups are a convenient way to combine related lists of tasks. However, the functionality is currently quite limited. There's no way to view a list of all the tasks in a group, aggregated from all the lists within it. Groups are static collections of lists, so you can't use them to create any more complex task management workflows. It's possible Microsoft will add more group-specific capabilities in the future but for now they're an organisation mechanism only.