As of today's date - Aug. 13, 2015 - Here's how to sort bookmarks in Opera:

1. Bring up a new Opera browser tab.
2. Left click on the Opera icon in the upper left corner of screen.
3. Click "Bookmarks" in the drop down manu
4. Hover over "My Folders" in the "Bookmarks drop down menu.
5. Right click on "My Folders"
6. Select "Sort alphabetically in the drop down menu.
7. Enjoy your sorted bookmarks!