Hi Nicola,
Sorry I have been away, what do you mean about create a sub-directory?
If you mean the directory drop down menu in the main menu I have always created these using the wordpress menu settings on my websites – I also try to keep within two or three lvls for seo.
So to answer your question (hopefully) all my directory headings are parent categories I then use the WP menu to place them.
I started to confuse myself here, hope it makes sense.
Dave