There doesn't appear to be a way to do this using Outlook's native functionality.
You may need to write some custom VBA code (macro) to do achieve this.
One option is to to write event handlers for the TaskItem.Write event and the TaskItem.BeforeAutoSave event. This would prompt you to choose a folder to save to, when either you save the task, or when Outlook tries to autosave it.
Another option would be to modify the Task form, so that there is a drop down list of folders to choose from. For example, this could be under the Subject field. Then when you create a task, you could choose which folder to save it to without a prompt.
Either method would involve writing VBA code.