How to create multi-level dropdown?

How do I format drop down answers on my last question so that they could look like this (and people can pick one of the cities):

California

·         Anaheim

·         Orange

·         San Diego

Florida

·         Boca Raton

·         Miami

 

Rather than the way it currently looks:

                California- Anaheim

                California- Orange

                California- San Diego

                Florida- Boca Raton

 

                Florida- Miami

Hi auspex1, 

Thanks for contacting us.

 

To add/create multilevel dropdown to your form, please see instructions below.

 

 If you need further assistance, please feel free to contact us.

 

Regards.