How to create a Sub-theme based on a Zen Sub-theme
It shouldn't be too hard ... I have a live site running a sub-theme of an AdaptiveTheme sub-theme (Sky). The only thing you have to is create your theme folder and copy the existing zen-sub-theme.info to your own zen-sub-sub-theme.info and rename the base theme value to the zen-sub-theme.

See this page, some magic inheritence occurs with CSS if you define 1 stylesheet for your theme:
http://drupal.org/node/225125

By creating your own .info file you are defining regions / ccs files and theme specific variables. You will also probably want to copy the zen-sub-theme's template.php file as well (renaming the functions to your themes name).