If you have the relationships correctly set up, the Customer query in the left hand panel should have links named something like "Add Addresses" and "Add Phone Numbers". If you click one of those, a child table query linked to the table you selected will be automatically set up. Depending on the relationship, you can then display field or grid values from the child tables on the main screen or in modal windows, or use the values in code behind.
As far as I know, this is functionally identical to ticking the checkboxes for additional data on the Add New Screen wizard for templates such as List And Details or New Data.
Edit based on comment info:
Two levels of nesting is definitely supported - I've just done it to prove it to myself. I set up Consumer - Contact - Address tables as you described with one to many relationships. Then I created a list and details screen with Consumer and Contact - you can only select one level of nesting deep when creating a screen. Once in the screen, the Contact collection has an Add ConsumerContactAddress link which I clicked. Then add a modal window and drag the Address grid onto it, add a button to the row of the Contact grid and get that to open the window.
It all works perfectly, but even if it didn't you should be able to wire it together yourself by adding a query on the child table with a parameter and then linking that parameter to the appropriate Selected Item value on the parent table. I can't see any reason you couldn't parent-child yourself so many levels deep that your code would be resting on the back of the Great A'Tuin. :)