There is actually two ways to do this:
a) Set the main albums tab to show the sub levels as well and drag them under the desired album.
b) Use the move/copy/rename functions on each album's edit page on the right.
Technically there is also c) Move them via FTP but then you will loose any manual editied data like titles, comments, ratings you might have.
http://www.zenphoto.org/news/working-with-albums-and-images#moving-copying-and-renaming-images-and-albums-with