Basic sorting in Favorites is either ascending or descending and to have folders first or not. See FAVORITES - OPTIONS - FAVORITES MENU
There are some things you can do help with how the menu displays. One is to use FavRenAdd macro http://kmeleon.sourceforge.net/wiki/KmmFavRenAdd
. This will allow you to change the name of the favorite when you add it. Also you will then be able to create/select folders within favorites for the new entry to appear.
A trick that I use is to prefix the name of a favorite with A__, B__, etc to force those items to the top. I have not tried numbers, but that might work also. Something along the line of 01__, 02__, ... 11__, etc.