You can tell Zotfile to create folders that match your collection. If you're using the "Rename and move" function, then in the Zotfile Preferences go to the General Settings tab, and in the Location of Files section you can set the folder you want for your Custom Location and then tick the checkbox below it to tell it to use a subfolder. If you want the subfolder to be based on your Zotero collections, enter the text /%c into the dialog box (that's the code for "create a folder based on collection"). If you're using the "Send to Tablet" function (which just sends the PDF to a folder on your computer that you can sync with the cloud to get it onto your tablet), then you go to the next tab, "Tablet Settings", and set your Base Folder and then just tick the radio button next to "Create subfolders from Zotero collections".

With both methods, if you have the PDF in more than one collection, Zotfile will ask which one you want to use to move to / create a new folder.

Note that if you're moving your PDFs to a folder on your computer, and you're not syncing that folder with the cloud, then you won't be able to access those PDF files when you install Zotero on any other computers. You'll be limited to using Zotero with those PDF files on just that one computer.

Also keep in mind that Zotfile is no longer being maintained, and won't work with the next version of Zotero, v7, which has already been in beta for a while now, so you may need to think of an alternative process in the near future.