OK, I just checked the current documentation and it looks the same:
For Tomcat 6, unlike Tomcat 4.x, it is NOT recommended to place <Context> elements directly in the server.xml file. This is because it makes modifing the Context configuration more invasive since the main conf/server.xml file cannot be reloaded without restarting Tomcat.
Context elements may be explicitly defined:
* in the $CATALINA_HOME/conf/context.xml file: the Context element information will be loaded by all webapps
* in the $CATALINA_HOME/conf/[enginename]/[hostname]/context.xml.default file: the Context element information will be loaded by all webapps of that host
* in individual files (with a ".xml" extension) in the $CATALINA_HOME/conf/[enginename]/[hostname]/ directory. The name of the file (less the .xml) extension will be used as the context path. Multi-level context paths may be defined using #, e.g. context#path.xml. The default web application may be defined by using a file called ROOT.xml.
* if the previous file was not found for this application, in an individual file at /META-INF/context.xml inside the application files
* inside a Host element in the main conf/server.xml
So, I also grabbed a copy of Tomcat 6 and, you're correct those directories are not there. I created them myself and put a context fragment file in the usual place, and it worked.