First Test
http://www.etcconnect.com/
Oh, you have to build your link manually from the parent page to the linked page.
Creating a page is often easiest in the way you did it above--creating a link to the child from the parent. You can also use the "Add Page" button and tell it its parent page using the Parent Page drop-down menu above the text, though I'm guessing you've figured out both of those.
The Table of Contents to the right does show parent pages and their children, which can be helpful.