No, you just click "edit" by the forum you want to move to another category and then assign it a different "parent"

ACP -> Forums -> Manage Forums -> first create your Category -> New Forum - Forum type: Category, Parent forum: No parent -> set your options and Submit, then set the permissions so it would be visible to whom you want...

When you done that, go back to "Manage Forums", Click on the "Edit" image next to the forum you want to move to your newly created category change the "Parent Forum" and click on "Submit" and it will move.