Usted crea paneles y coloca secciones dentro de esos paneles.
Entonces, si tienes tu panel:
$wp_customize->add_panel( 'panel_id', array(
'priority' => 10,
'capability' => 'edit_theme_options',
'theme_supports' => '',
'title' => __('Theme Options', 'mytheme'),
'description' => __('Several settings pertaining my theme', 'mytheme'),
) );
Entonces necesitas agregar tus secciones:
$wp_customize->add_section( 'header_settings', array(
'priority' => 10,
'capability' => 'edit_theme_options',
'theme_supports' => '',
'title' => __('Header Settings', 'mytheme'),
'description' => __('Header elements configuration', 'mytheme'),
'panel' => 'panel_id',
) );
$wp_customize->add_section( 'footer_settings', array(
'priority' => 10,
'capability' => 'edit_theme_options',
'theme_supports' => '',
'title' => __('Footer Settings', 'mytheme'),
'description' => __('Footer elements configuration', 'mytheme'),
'panel' => 'panel_id',
) );
Las secciones regulares son paneles "sub". Luego agrega su configuración a sus secciones, y listo.