How to sort on multiple columns in a table?

How to sort on multiple columns in a table?

As the subject line says, I would like to sort data in a single table based on multiple columns in order, for example, first by "State", then by "City" then "Lastname."

Is there a way to do this using the "Sort" button in the table view, or will I have to write an SQL statement under New Query Table?

Thanks.