title: How to set multilevel index in a dataframe with existing columns
body: <p>I have a dataframe as below:</p>
  
  <pre><code>     A      B     C     D
  0    hola   32    43    54
  1    hey    87    67    45
  2    hi     10    54    89
  3    hola   19    34    12
  4    hi     11    59    09
  </code></pre>
  
  <p>I need to set a multilevel index using A and B , which is grouped by A
  I need the following dataframe</p>
  
  <pre><code> A      B     C     D
  hola   32    43    54
         19    34    12
  hey    87    67    45
  hi     10    54    89
         11    59    09
  </code></pre>
  
  <p>I have tried using df.set_index(['A','B'])
  and i get </p>
  
  <pre><code>A      B     C     D
  hola   32    43    54
  hola   19    34    12
  hey    87    67    45
  hi     10    54    89
  hi     11    59    09
  </code></pre>