“You can easily customize the new inbox – select the tabs you want from all five to none, drag-and-drop to move messages between tabs, set certain senders to always appear in a particular tab and star messages so that they also appear in the Primary tab.”
Demonstration video inside.
All I can say is: Google is awesome!
Android Gmail will also feature these new options:
Sadly, the new inbox is rolling out gradually so it may take a few days until you can see that option on the gear menu.