After numerous managerial changes at Southampton, Folly struggled to get in the team and loan spells at Nottingham Forest (where he scored his first goal in English football against QPR in the FA Cup)[3] and Preston North End followed.

Folly's promising displays meant that he joined Wednesday on a permanent basis at the end of the 2005–06 season, rejecting the offer of a new contract at St. Mary's.

He climbed off the substitutes' bench at Hillsborough to score an extra-time winner for Wednesday in the League Cup second round versus Hartlepool United in August 2007.

[6] He made a surprise return to the starting line-up in October 2009 against Middlesbrough, having only appeared once before that in 2009, producing a composed performance in a 1–0 victory for the Pilgrims in which he was the Man of the Match.

[11] Folly became an instant hit with the local supporters playing a crucial part in the team's midfield alongside fellow summer signing, Scottish internationalist Paul Hartley.