I have the following folder structure in xcode for a project.

        
The "folders" in Xcode are actually groups and not necessarily linked to a folder in Finder.
You need to manage it yourself if you want a mirror in Xcode/Finder.
What you can do is create the folder structure you desire in Finder, then drag each folder into Xcode, this will create references to the folders as groups in Xcode and any files you create in those groups will be saved in the appropriate Finder folders.