HI there, I am searching for the same thing.
I can show the child pages in a separate menu, but cant get the child menu to stay present when I click into a child page of the parent page.
I have used the following plugin to create a folding menu in the past…. it shows the child pages even when you are on one… useful if you have all the menu together. http://www.webspaceworks.com/resources/cat/wp-plugins/30/
But doesnt really resolve my current issue.
Did you have any luck resolving it?