• choose an existing list
• click on the three-dotted icon (kebab icon)
• select Add sublist
• name the sublist
• attach it to a goal if necessary
• click Save

You can also drag and drop one list onto another.  In this way, the list being dragged will become a sub-list of the other.

Use the drag-and-drop feature to move and prioritize tasks across lists and sub-lists.