Menu - parent vs. child items

[stew]

I have began a simple site using GS. At this time I have four pages using the default template. The first three pages work fine using the page options and add to menu.

Now I wish a page to be a child page of one of the preceding pages. I can't seem to make it appear as a dropdown item and checking add to menu adds it as a parent item. What am I doing wrong and do I need a plugin?

Thanks, Stew