Well, you are smart enough to ask for help.
The simple answers is: You don't.You have to set up the folder structure in Windows File Explorer first.
Then save as pk3 and load that into Slade3 and then import all the assets.
https://zdoom.org/wiki/Using_ZIPs_as_WAD_replacementYou may find Nash's template of interest.
viewtopic.php?f=37&t=25083edit:
I appears that, according to Kinsie and Gez, I stand corrected.
However, having tried the New Directory approach just now, I still prefer the File Explorer method. In time that may change though.