There's an example in the PrimeFaces showcase that would be a good start. I can't link you to the online demo at the moment because the demo server appears to be down and I don't have the required URL in my head!
You can download the entire showcase from the download page http://www.primefaces.org/downloads.html
The xhtml file to look at is pprSelect.xhtml
The corrseponding bean is in PPRBean.java
pprSelect.xhtml has two <h:selectOneMenu> tags called "city" and "suburbs" that do what you want to do.