You can do this a few ways, probably better to start with the place --> sheet symbol and place --> sheet entry. The sheet symbol is your hierarchical block and the sheet entries are your ports.
The wiki will give you more detail that I can hope to explain - **broken link removed**
Create an empty schematic page and use: Place->Sheet Symbol. Do this for every page in the schematic. Double click on the Sheet symbol and set Filename to schematic page you would like to include in the hierarchy. Then, right click on Sheet Symbol and: Sheet Symbol Actions -> Synchronize sheet Entries and Ports. Select "Unmatched ports" and press Add Sheet Entries.