How do you add sub lists (Iphonelist)  to each IPhoneList Item? Is there any examples?

Assuming you mean with sublist, a list that shows up when you click an item in a first main list,

you'd do this using two IPhoneList controls on two regions and use these connected to a TIWPageFlip component and then instruct the TIWPageFlip to move to the 2nd region with the 2nd list when an item in the first list is clicked.

Thank you for your prompt reply!  Can you please provide an example?  this will be most helpful!  Thanks

Unfortunately there's currently no sample available for this specific requirement.

However, please have a look at the iPhone demo (included with the download) that features an IWiPhoneList with an itemclick event that shows a detailed form using a IWiPhonePageFlip.
The same technique can be used for what you are trying to create, just replace the form elements with a second IWiPhoneList control.