Correct. As long as you don't copy files from one folder into another you won't hit this problem. Virtually all backup programs retain the folder hierarchy structure, which avoids problems during backup.
To avoid this problem entirely I use the file name prefix feature of Nikon's DSLRs. Instead of using the default prefix ("DSC_" or "_DSC"), I assign my own prefix that includes a couple leading digits. So instead of file names like: DSC_1234 I end up with file names like "_P012345". Each time you see the digit counter getting close to rolling over (that is, approaching 9999), you need to change your prefix. For me that meant changing from "P01" to "P02". Notice that with this simple change I won't hit a number wrap-around problem until I shoot one million shots.