Turning Pages into Children

I have several page that I would now like to link in a pull-down menu under another already-existing page. I have edited the pages and chosen the Attribute, clicking the one to make Parent. When I am at the main Pages screen, they all show up the way I want, but the changes aren’t appearing on the blog. I went into menus and couldn’t find an option. What am I missing?

Menu Edit – http://eviloverlordthoughts.com/wp-admin/nav-menus.php

Blog – http://eviloverlordthoughts.com/

Elizabeth