The technique you're looking for is called a "state machine".
While the arduino supports some object orientated programming, you're still mostly doing procedural programming.
A state machine is the thing to use in these situations.
Essentially, your menu would have 3 or 4 states.
- (default) display data
if button is pressed, go to state 2 - display the basic menu options
if button is pressed, either change the selection or go to the state of the selected item - light intensity was chosen, button up raises the intensity displayed, button down lowers it. the select button changes the output, has a delay, and returns to state 1.
Now I won't do your work for you and put it into actual code, but I hope you get the idea now 