If your account qualifies to run this feature, you'll find the option to set up Ad Sitelinks in your Campaign Settings tab -- it will appear as "Show additional links to my site" under the "Ad extensions" section.
I see the "Ad Sitelinks" option they mention in my account. However, you can only set it at the campaign level.
I have some campaigns containing adgroups with different display (and landing) URLs. Example: widgetA.ext widgetB.ext. So although the option is visible, I can not use it.
I would like to reorganize my campaigns by moving some adgroups. But I don't want to loose my historical data like conversions, CTR, views, clicks, quality score etc. etc. Unfortunately this is (still) not possible in Adwords.