There is currently no support (but it will be available in a future version) for creating the directory storage from the graphical user interface. If you start up your project by manually creating the directory structure, e.g.:
/RootPackage # Top-level package stored as a directory
package.mo # Indicates this directory is a package
package.order # Specifies an ordering for this package
NestedPackageAsFile.mo # Definitions stored in one file
/NestedPackageAsDir # Nested package stored as a directory
package.mo # Indicates this directory is a package
package.order # Specifies an ordering for this package
You can then edit and save these classes from SystemModeler and they will be saved to the corresponding files and directories.