To capture as bookmark you can drag URL with Alt pressed.

Another way to achieve this is to use "capture as..." and set the "parentId" using JSON (You may have to copy the folder item ID and the snippet manually somewhere beforehand, though).

Since WSB allows lots of customization, including batch captures, we haven't find a nice design to configure them using GUI. It's welcome if you have any nice design idea for a GUI that can replace the JSON.