Note: the sub-title feature is not in included in all themes!
To add the sub-title to a menu entry, please go to WordPress admin -> Appearance -> Menus. Then click the “Screen Options” tab on the top right to open the settings panel for the menu page, please check the checkbox for “Description”. Now you can add / edit the menu sub-title, see also the screenshot below.
Please note: mostly the sub-title is working only for the top menu entries.