New blogs default path - how can I set it up as myblog/newblog as opposed to subdomain?

Hi,
When doing the very first install of wpmu, there was a section which asked you where you'd like additional blogs to show up. blog.myblog.com or myblog.com/newblog

Initially I chose subdomain, as it was recommended.
Now however I may need to go the other way.

Is there somewhere in the admin panel where I can make the switch?

What are the drawbacks if any?

Thanks.