This is REALLY un-intuitive. I spent hours trying to figure out how to create sub-menus in the Twenty Ten theme.
It’s especially unhelpful that the available pages to add, in the Pages list, don’t appear to be in any kind of useful order, nor to show the hierarchy of parent-child relations.
To make it easier to build these menus, you could try the Gecka plugin to generate sub-menus automatically from a page’s parent-child relationship.
