Information
Adding multiple Works list and Work Categories is same process as described here below, but for done for Work Categories.
How to create multiple Albums lists
To make it clear, doing this(multiple Albums lists) same way as doing single Albums list is not possible due to some WordPress limitations in creating custom post types and taxonomies.
However we can simulate it by adding albums under different Albums Categories. Then you can link such category in your menu(but you have to enable it first) and you have different Albums lists.
That was simple example. However if you want to have many filtered Albums lists then you have to create Albums Categories hierarchy.
Lets see an example.
Example
Lets say we want to create 2 Albums lists for Design and Webdesign.
All your Albums Categories can be found in Albums → Categories

There we create Albums Categories: Design and Webdesign, and under each we add their subcategories – it will be our Albums Categories to filter by on each Albums list.
Category tree can look like this:

Now you have to assign your albums to different Albums Categories. You can do it by choosing Albums Categories while adding album, like you can see on image below:

Now when you link Design or WebDesign to your menu you have two separate Albums lists. However, if you don’t need subcategories, you can just link in your menu your main Albums categories. Under each album list you will see only albums that are in that category(or descendant category).
Add new Albums list to menu
After you assigned different albums to different Albums Categories you may want to add this Albums list to menu.
To do it go to Appearance → Menus and be sure to activate adding Albums Categories to menu, just like explained in creating menu section.
Attention
If you are using multiple Albums list then template for Albums list will display all your albums with filter, so you can view them by category.
You don’t have to use it or even create it if you don’t want.