Drop Down Menu – Optgroup

How to add optgroup in a drop down menu?
I want something like:

Course A:
course 1
course 2
course 3
course 4
Course B:
course 1
course 2
course 3
Course C:
course 1
course 2

I found some related posts but is about 2 years ago.

https://ww.wp.xz.cn/plugins/contact-form-7/