If you haven’t already, I’d recommend taking a look at our Interactive Tutorial, available from the Help menu. It has a good hands-on introduction to the Compile command.
Choose a Section Layout that includes the title. See the preview tiles in the center pane of the main Compile screen to accomplish this.
Again, look at the preview tiles and choose one that doesn’t include a page break. Probably you will want to use a different layout for subdocuments than for the Chapters.
You can create as many levels as you need. In the Project → Project Settings → Section Types pane, choose the Default Types by Structure tab. Click the plus sign in the lower left to add levels. See Section C.2 in the manual for a detailed discussion of this pane and how it interacts with the Compile command.
(Rereading this, it’s not clear what you want to create levels of. Are you looking at the Styles pane? You can create more of those, too. Format text the way you want, select it, and use the Format → Style → New Style from Selection command. Please read Chapter 17 in the manual first, though, as Scrivener styles are a little different from others you might be familiar with.)