The Folly is the Russell Square headquarters of the Metropolitan Police's Special Assessment Unit, covering magic and other sorts of "weird bollocks" (as DCI Seawoll calls it). I went looking for it during my 2017 visit. I had no luck.
The Follypedia wiki's entry shows a photo of one of the buildings on the south side of the Square, but this is one of a row of Georgian terraces (of the posher sort) that have similar, if not identical, appearances. This is at odds with the description that the Folly was designed "in the style of White's" (i.e. the gentleman's club).
A tumblr post by maple-clef attempts to reconstruct the Folly's location from viewing angles in the graphic novels. This post points out the similarity between a glimpse of something in one of the comic panels and a gated car entrance on nearby Bedford Place.
So is there anything definitive that specifies the Folly's location on the square?