gistfile1.cs

public IObservable<Unit> CreateRecursive(string path)
{
    var paths = path.Split('\\');

    var firstFolderThatExists = Observable.Range(0, paths.Length - 1)
        .Select(x =>
            StorageFolder.GetFolderFromPathAsync(String.Join("\\", paths.Take(paths.Length - x)))
            .ToObservable()
            .LoggedCatch(this, Observable.Empty<StorageFolder>()))
        .Concat()
        .Take(1);

    return firstFolderThatExists
        .Select(x =>
        {
            if (x.Path == path) return null;
            return new { Root = x, Paths = path.Replace(x.Path + "\\", "").Split('\\')};
        })
        .SelectMany(x =>
        {
            if (x == null) return Observable.Return(default(StorageFolder));
            return x.Paths.ToObservable().Aggregate(x.Root, (acc, y) => acc.CreateFolderAsync(y).ToObservable().First());
        })
        .Select(_ => Unit.Default);
}