It is. You can put them anywhere you’d like; a sub folder in the Audio folder, a whole other folder, sub-folders in that other folder. Just bear in mind that if you move anything you’re already using, then you’ll need to specify the new location next time you open any tracks using the moved sample.

Also, don’t ever delete the Audio folder! Without the Audio folder, the set won’t be recognised as a set - it just disappears. It’s fine if the Audio folder has nothing in it, just as long as it’s there. (If you do delete the Audio folder, putting it back again will restore the set.)