Hello @delcour
To add another level submenu you need to go to Admin Panel / Appearance / Menus.
And then see the following attachment below for the further reference.

Answer to your second question is, to change the appearance of the submenu is at first you need add the Custom CSS through the plugin
.
You can find many plugin to add Custom CSS. Below link is the reference for one of the plugin.
Custom CSS
After installing the plugin you will find the custom CSS in Admin Panel / Appearance / custom CSS.
Here copy and paste below CSS
ul.sub-menu li {
background-color: #ea798a;
}
The above code will change the background of the submenu.
Hope this will resolve you issues.
Best Regards!!