I have got a few threads/lessons/exercises that I would like to keep around for reference.
So far I have just been making blogs with links to the pages.
Is there an actual folder I can use instead of taking up blog space?
For threads, at the bottom of the thread under 'Thread Tools' you can click 'Subscribe to this Thread', it'll then give you a few options, after that you'll be able to in to Control Panel > List Subscriptions to find threads.

As far as I'm aware there's nothing like that for lessons though.