Create multilayered index?

I want to have a multilayered index like this:

Tequila

     Tequila 3030

     Tequila Julio

     Siete Leguas

I have tried adding the sublayers as Sub Keywords, but when I generate the html5 it seems not to work. I have tried making the subkeywords cross reference to the header keyword, but that does not seem to work either. I feel pretty certain this can be made to work but I am probably overlooking something? .... Can anyone help?

Best regards

Bjørn