How do I set up the forums like the demo?
You need to create category parents for each group of forums. For example on the demo forum (http://socialize.wpengine.com/forums/), "General" is a forum category and is has two child forums called "General Chat" and "Random Discussion" - see attached screenshot.
Go to Forums > New Forum to create a header and on the right hand side select "Category" from the Type dropdown menu.
To create a forum under this header go to Forums > New Forum and on the right hand side select "Forum" from the Type dropdown menu.
This is how the final product looks.