Need help making multiple lists that are dependent on the first list.

I need help making a few drop down lists that are all dependant on the selection from the first drop down list. Basically, I want the first list to have a few options and if you pick one option 3 more lists will appear that are all based on the first selection.

Example:

Main List:
Drywall
Studs
Plywood
Joint Treatment

If someone chooses drywall 3 new lists will populate:
List 1:
1/4"
1/2"
5/8"
Enter value

List 2:
4x8
4x10
4x12
Enter value

List3:
Type X
Type C
Non Rated
Enter Value

If someone chooses studs 3 different lists will need to appear. How can I do this?

Thanks for sending that over Ochimus. I tried to mimic what you did but wasn't able to get the list to work. I believe I did it step by step correctly but my the second option in the main drop down list called Underlayment isn't populating the next drop down menus correctly. The first option called drywall is working fine though.

Hey Bo thanks for answering. I'm having trouble finding this space. Can you help me?