On the MyGames page there is a sub-heading "Manage Games" which gives you boxes to tick. You can do a page at a time. Unfortunately I don't think there is a short cut, you still have to tick each little box on the page.
If you click on the "Manage Folders" option in the "folders" menu, you'll be able to select one of your existing folders or create a new one.
Select whichever folder has your 500+ (!) games.
Now you should see check boxes next to the "actions" heading. Select the games you want to move.
In the drop down menu on the left of your screen, there will be a new menu called "Selected games" and from this you can select the "move to folder" option.