I would like to display all my category items under a single parent but I failed to do so now I'm creating a new menu link for each category and dragging it into place in the custom menu screen. Is there an easier and automatic way of doing this?
If you need to use a custom menu, then what you're doing is probably the only way. "Select All" in the Categories meta box on the admin menus screen, "Add to menu", and then reorder the category items as you like.
But if you just want an automatic list of categories, then why not just call wp_list_categories() in your theme?