If you mean something like a building or vault with multiple floors, each of them must
be a separate map. They can be added to location with World Editor or by editing
maps\Locations.cfg (the format is not very usef friendly, but it's described in the file)
Also there is text\<lang>\FOGM.MSG with some map/location properties, if you don't
use World Editor).
Things like stairs and ladders that transport from one map to another in location is quite
simple. Doing elevators used to be a pain, I don't know if it changed because I was avoiding it.