If you wish to preserve your folders, you will need to export each folder separately.
To Export from RefWorks:
If you do not have separate folders you can export all of your references in one file.
Before you think you are finished
Check if you have any references left in "Not in Folder" that you want to keep. Unless you assign them to a Folder, they won't be imported.
Make sure that it's intentional if you have duplicate records across multiple folders. If you are not preserving the folders structure, eliminate duplicate references. Under Tools, there is a Find Duplicates search.