Compound Colliders

How do I make compound colliders through the editor? The manual says I should create child objects and add a collider to each one, it doesn’t however say how to make child objects… Is there a way to do this through the editor, instead of through code?

Create a new game object (GameObject->Create Empty, Cmd-Shift-N or duplicate existing one), then drag it in the Hierarchy view to over the parent - it will become a child.