Gmail Labs introduced a new feature, Nested Labels, This will help you to arrange or find your mails faster. To use this you will have to enable this feature.
1. Go to Gmail Labs tab under Settings
2. Find "Nested Labels"
3. Select Enable
4. Save Settings
If you want to create a child label create it with name ParentLabel/ChildLabel
For example, let's say you wanted to create a simple hierarchy with a "Home" label, and inside it a "Family" and a "Vacation" label. Just create three labels with the following names:
You can then create "Home/Family/Kids," "Home/Pets," etc., to get something like the screenshot on the left. If you had the parent label "Home" before you don't have to create it from scratch.
Read more here