As of right now there is no way to sort your games. However, since the first offical PSP go firmware (its not the same as the PSP 3000's) has been released, you can expect it soon. Community Manager stated that they will be implementing a set of tools with MediaGo to save into new folders, search by everything, sort however, etc. But right now, there isnt any way to do it other than with music.
One really cool feature is that the memory that was used for the UMD drive is now used for saving states. you can turn a game on, play, then say well.. i want to play another game. save that state to the memory, open another game or movie or music, play, and when you're done, you can open the other game back up right where you were instantly. it's compatible with all games too.
The other awesome thing is that it supports 100% of the function of the dual shock 3 - sixaxis. Just connect it with your bluetooth and you're good to go. Yes, that means monster hunter unite with a Dual Shock 3. I'm playing it on my desk now, i have it in the cradle right infront of my monitor, DS3 in my lap, playing Gran Turismo PSP. SHITS AWESOME.