Creating nested stuff on the desktop is easy. To create a nested context, select the desired parent in the sidebar, and press cmd-shift-} or use Edit->Outlining->Add Child. Type the context name (it will already be selected) and you are done. I'm unsure what you mean by a nested project, as that could be interpreted as adding a project inside a folder (click on the folder, click the + button or cmd-shift-} or Edit->Outlining->Add Child, edit name), or you might be referring to creating an action group (select the parent action, cmd-shift-} or Edit->Outlining->Add Child, edit name). The general idea is the same.
On the iPhone or iPod, here's how I do it:
Go to the Contexts folder, select the desired parent, then tap the + button. You'll be asked whether to make a new action or a new context.
Projects work the same way (in folders). See the 2nd paragraph down for a tip on populating a new project more easily.
If you want to create an action group, go to the target project, and tap the + button to create a new action which will be the parent. Tap the + button again to create the first action in the action group. Now tap the new action, and tap the folder button at the bottom right to get the Move Action screen. Tap the parent action to move this one inside, and follow the suggestion in the next paragraph to finish building it.
If you're going to build the project or action group on the spot, if you stay in that newly created project, you can just keep tapping the + button to add actions which will already have the project set. If you set the default context as you create the project, those actions will have the context set as well (though you can certainly change it).
The key to making it easier on the iPhone or iPod is going to the spot where you want the new actions to be, and adding them there, so you don't have to do the tedious shuffling. Much better to put it in the right spot initially than to be constantly scrolling up and down in lengthy lists trying to reorganize!