You can create as many local folders, as sub-folders of the Inbox, as you wish.
You can them name those folder for each of your identities.
Let's call them Identity 1, Identity 2 and Identity 3.
To ensure that e-mails sent to each of your various addresses 'drop' into the correct folder you'll need to set up filters as you've already stated.
You'd set up a filter for your 'main' address so that e-mails drop into the Identity 1 folder for instance, set up another filter so that e-mails to your secondary address drop into the Identity 2 folder and so on.