Easily add a menu as a submenu to another menu.
Scroll to the top of the page and click the 'Screen Options' button in the top right corner. In the dropdown, make sure the 'Navigation Menus' option is checked. Now you should see the 'Navigation Menus' box in the left column.
Right now, yes. This is a bad idea. When a wormhole leads back into itself it creates a black hole. Black holes are bad. Basically, while all will seem fine and dandy in the admin, the front end of your site will be sucked into the black hole. If this happens to you, just remove the menu from itself in the admin to break the infinite loop. Consider yourself warned.
Well, I tried to warn you. It wasn't me... you should have read the instructions. If you still honestly don't know why, please read the previous question you just skipped over.