As keilmillerjr mentioned, I've a quite extensive list of options on my theme so I organized them as you can see in the screenshot atached. I use a "header" line (like "Thumbnails" or "Background") which is just that, a header, but you can bind an option to that too. I think if you layout your preferences like this:
PARENT OPTION (YES/NO)
Child option 1 (OPTION)
Child option 2 (OPTION)
it will be quite clear that the child options are "meaningful" only if the parent option is enabled, even if visually you can't hide them.