Hello! That's a good question. Since folders can sometimes overlap, I tend to think about it specific to each piece. Just as an example, if the drawing were of your OC taking a selfie of themselves and a canon character, I would lean towards an OCs folder, because the focus is more on your character. If they're both given equal focus, then the choice is up to you!
If you choose an OC folder, then there's that feeling of "hey, look at this character I created to go along with X canon character", versus, if you choose the Canon Characters folder, then that's more a vibe of "hey, this has a famous character from the series in it... and my OC too!". Does that make sense? But yeah, in that aspect, it's totally up to you. ^^