Hello,
You can create your folder with different category and put specific category into its specific folder. Than create Playlist base on what inside that Folder and save it under that folder name.
Playlists are very similar to your song playlist for your mp3/flac list of songs.
While categories in deskscape are totally different thing. I believe those different categories were set by admin from Wincustomize.com. That is not changeable within Deskscape. When Wallpaper artist upload their work, they should choose the category for that wallpaper. Hope that is clear enough for you.

Thanks
Basj,
Stardock Community Assistant.