Webforms with subheadings that have their own fields I realise what field sets are as they can group parts of your webform together. What I am looking for though is to have subheadings within those fieldsets. 

I've been trying to find tutorials about this but all I can find is tutorials on how to build a simple webform with just a title, description and then label-field pairs.

Edit: Say I want a form that calculates taxes for someone and I want to start off with a fieldset that has a couple of radiobuttons like male/female, I live rural/I live in the city and whatnot. Then I want some label/textfield pairs like name address phone, etc...
Then within the same fieldset I would have a title that says 'do you have a secondary address?' and have that be the title for a subset of fields with again address and zipcode, etc..
Basically I got away with just putting up a markup title. I thought it was really necessary to have field groups in order to make a valid web form since it was suggested to me. I guess like Andy said, nested fieldsets might have worked as well.