Use this short guide or Alphadawg's

Go to Quest > Maps > Map Count

and increase your map amount by 1, or 2 if you want to make layers for the dungeon, too.

Then Quest > Maps > Goto Map

and go to the map you just created.

Then scroll down your tileset and find some dungeon tiles, and start making your dungeon (for example, to screen 47)

And also you would need warps to warp between the dungeon and the overworld. Go to the overworld map, to the screen with the entrance to the dungeon and open up Data > Tile Warp. Then click to the Warp Type box, and select "Entrance/Exit" or "Insta-Warp with Opening Screen". Next up, select the map. Select the dungeon map you just created (not the layermap if you made one) and then select the screen where you want Link to appear in the dungeon. For example the 47. Select warp return "A". Click Go.

Now you are in the dungeon. Use your mouse wheel (or PgDn and PgUp) to scroll the bar at the bottom of ZQuest until you see 4 blue squares. Click the one with "A". Then put it near the exit/where you want Link to appear. Then Goto Data > SIDE warp and select warp type, screen and map. Then select A. Don't Go yet. There's a square-like thingamajig with 4 triggers in it. Click to the side where your dungeon exit is, but only once. Then go.

You're in the overworld again, now just put the blue "A" square to the cave tile. DONE!