You basically just create new pages, one at a
time. A new page is always automatically a childpage of the one you
have been using to create a new one.
A new page you can always move into another folder. Choose "View in
Page Hierarchy" and there you can just click and drag it into another
folder. Of course you can also move single pages to any location you
would like them to have.
Here's the Atlassian documentation about this subject: https://confluence.atlassian.com/display/CONF34/Creating+a+Child+Page