The only way is to save them on a memory card. Take the card out and they can't be viewed. If you save them on the phone memory and put them in folders you still have to keep them in the Gallery, if you delete from the Gallery, you also delete from the folders.
However there might be a software available somewhere for this, I haven't heard of one though.
Always use the menu to remove the memory card. Press On/Off button quickly to access it.