Essentially, you click the hand icon and drag it into another task and drop it to turn it into a subtask. If you don't have a hand icon, you can go into your account settings and turn the subtasks feature on (look under "fields used").
The subtask support on the iphone came out excellent! In fact, I'd like to voice a request I've seen elsewhere in this forum that the "Create subtask" button should exist for tasks that do not have subtasks yet, like it does in the iphone app!