There is no "Forms" menu, so your question doesn't make sense.
You can create a form, then go to the File menu, choose "Save as" and you can put the form anywhere you like.
This, however, would be an unwieldy way to organize your project, as it could lead to project files being scattered all over the place, perhaps even on devices that might become unavailable.
First, I think most people go the Hungarian notation route and name their forms "frmSomething", so all the forms stand out. Second, all the file types used by VB6 have their extensions registered, so all you need to do is sort your directory by extension and there you have it: organization by file type, which is what you wanted.
If you work alone, do whatever you want. If you work in an organization, it would be wise to see how everyone else expects projects to be organized: you know, a standard.