How to create sub-menus from the nested links?

Hi,
I have found a way to add my auction categories into a custom menu, but the custom menu adds them all as a top level category.

How do I edit the custom menu to allow for sub-level-menus as I cannot see any option to change this so everything appears as top level only?

https://www.ads-software.com/extend/plugins/jquery-vertical-mega-menu/