I do that the following way:

NSError *error;
NSArray *paths = NSSearchPathForDirectoriesInDomains(NSDocumentDirectory, NSUserDomainMask, YES); 
NSString *documentsDirectory = [paths objectAtIndex:0]; // Get documents folder
NSString *dataPath = [documentsDirectory stringByAppendingPathComponent:@"/MyFolder"];

if (![[NSFileManager defaultManager] fileExistsAtPath:dataPath])
    [[NSFileManager defaultManager] createDirectoryAtPath:dataPath withIntermediateDirectories:NO attributes:nil error:&error]; //Create folder

I don t have enough reputation to comment on Manni s answer, but [paths objectAtIndex:0] is the standard way of getting the application s Documents Directory

http://developer.apple.com/library/ios/documentation/iPhone/Conceptual/iPhoneOSProgrammingGuide/StandardBehaviors/StandardBehaviors.html#//apple_ref/doc/uid/TP40007072-CH4-SW6

Because the NSSearchPathForDirectoriesInDomains function was designed originally for Mac OS X, where there could be more than one of each of these directories, it returns an array of paths rather than a single path. In iOS, the resulting array should contain the single path to the directory. Listing 3-1 shows a typical use of this function.

Listing 3-1 Getting the path to the application’s Documents directory

NSArray *paths = NSSearchPathForDirectoriesInDomains(NSDocumentDirectory, NSUserDomainMask, YES);
NSString *documentsDirectory = [paths objectAtIndex:0];

Swift 3 Solution:

private func createImagesFolder() {
        // path to documents directory
        let documentDirectoryPath = NSSearchPathForDirectoriesInDomains(.documentDirectory, .userDomainMask, true).first
        if let documentDirectoryPath = documentDirectoryPath {
            // create the custom folder path
            let imagesDirectoryPath = documentDirectoryPath.appending("/images")
            let fileManager = FileManager.default
            if !fileManager.fileExists(atPath: imagesDirectoryPath) {
                do {
                    try fileManager.createDirectory(atPath: imagesDirectoryPath,
                                                    withIntermediateDirectories: false,
                                                    attributes: nil)
                } catch {
                    print("Error creating images folder in documents dir: (error)")
                }
            }
        }
    }

I don t like "[paths objectAtIndex:0]" because if Apple adds a new folder starting with "A", "B" oder "C", the "Documents"-folder isn t the first folder in the directory.

Better:

NSString *dataPath = [NSHomeDirectory() stringByAppendingPathComponent:@"Documents/MyFolder"];
if (![[NSFileManager defaultManager] fileExistsAtPath:dataPath])
    [[NSFileManager defaultManager] createDirectoryAtPath:dataPath withIntermediateDirectories:NO attributes:nil error:&error]; //Create folder

The Swift 2 solution:

let documentDirectoryPath: String = NSSearchPathForDirectoriesInDomains(.DocumentDirectory, .UserDomainMask, true).first!
if !NSFileManager.defaultManager().fileExistsAtPath(documentDirectoryPath) {
        do {
            try NSFileManager.defaultManager().createDirectoryAtPath(documentDirectoryPath, withIntermediateDirectories: false, attributes: nil)

        } catch let createDirectoryError as NSError {
            print("Error with creating directory at path: (createDirectoryError.localizedDescription)")
        }

    }

This works fine for me,

NSFileManager *fm = [NSFileManager defaultManager];
NSArray *appSupportDir = [fm URLsForDirectory:NSDocumentsDirectory inDomains:NSUserDomainMask];
NSURL* dirPath = [[appSupportDir objectAtIndex:0] URLByAppendingPathComponent:@"YourFolderName"];

NSError*    theError = nil; //error setting
if (![fm createDirectoryAtURL:dirPath withIntermediateDirectories:YES
                           attributes:nil error:&theError])
{
   NSLog(@"not created");
}

Swift 4.0

let paths = NSSearchPathForDirectoriesInDomains(.documentDirectory, .userDomainMask, true)
// Get documents folder
let documentsDirectory: String = paths.first ?? ""
// Get your folder path
let dataPath = documentsDirectory + "/yourFolderName"
if !FileManager.default.fileExists(atPath: dataPath) {
    // Creates that folder if not exists
    try? FileManager.default.createDirectory(atPath: dataPath, withIntermediateDirectories: false, attributes: nil)
}

Following code may help in creating directory :

-(void) createDirectory : (NSString *) dirName {

NSArray *paths = NSSearchPathForDirectoriesInDomains(NSDocumentDirectory, NSUserDomainMask, YES);
NSString *documentsDirectory = [paths objectAtIndex:0]; // Fetch path for document directory
dataPath = (NSMutableString *)[documentsDirectory stringByAppendingPathComponent:dirName];

NSError *error;

if (![[NSFileManager defaultManager] createDirectoryAtPath:dataPath withIntermediateDirectories:NO attributes:nil error:&error]) {
    NSLog(@"Couldn t create directory error: %@", error);
}
else {
    NSLog(@"directory created!");
}

NSLog(@"dataPath : %@ ",dataPath); // Path of folder created

}

Usage :

[self createDirectory:@"MyFolder"];

Result :

directory created!

dataPath : /var/mobile/Applications/BD4B5566-1F11-4723-B54C-F1D0B23CBC/Documents/MyFolder

Swift 1.2 and iOS 8

Create custom directory (name = "MyCustomData") inside the documents directory but only if the directory does not exist.

// path to documents directory
let documentDirectoryPath = NSSearchPathForDirectoriesInDomains(.DocumentDirectory, .UserDomainMask, true).first as! String

// create the custom folder path
let myCustomDataDirectoryPath = documentDirectoryPath.stringByAppendingPathComponent("/MyCustomData")

// check if directory does not exist
if NSFileManager.defaultManager().fileExistsAtPath(myCustomDataDirectoryPath) == false {

    // create the directory
    var createDirectoryError: NSError? = nil
    NSFileManager.defaultManager().createDirectoryAtPath(myCustomDataDirectoryPath, withIntermediateDirectories: false, attributes: nil, error: &createDirectoryError)

    // handle the error, you may call an exception
    if createDirectoryError != nil {
        println("Handle directory creation error...")
    }

}