You need to go to Settings -> Permalinks, and set up your rewrite rules.
When you create a page, after you publish it for the first time, you can return and edit the permalink. By default it will be yoursite.com/[parent-page]/page-name/. There will be a little box under the page title input to change it.
[At least, this is the best way I’ve figured out so far. Someone may know something far more efficient.]