How do I create a custom sub-menu?

I've figured out how to create a custom menu, but am now trying to figure out how to name the pages under that menu. For example, I might have a menu item that says "Insights" and under that, I might want to label each sub-page by a separate name, i.e. "Stress and health," "Breathing." I can't seem to figure out a way to do this through the permalinks structure. Is there another way to do this?