How to paste inside parent

Hi,I’m completely new to Figma so please forgive my lack of understanding. I took a menu from here
Then I found a dropdown menu and wanted to put it just like any menu item here.
CleanShot 2022-11-22 at 13.15.37
But it just keep pasting at the top level and I cannot move it into the menu. Am I misunderstanding something? Thanks a lot!

Please see the following Help Center article: