To be exact, the question is how can I extrude a face out of the already extruded face? (like a telescope). The first time is easy, I increase the caps # and select the inner circular face, but the extruded cylinder that is created does not have any caps attributes to it..
I assume you're talking about a poly cylinder, here.
The 'extrude' command should do what you're looking for, without needing to increase the number of divisions on the caps. Just extrude the faces, then scale the newly extruded faces down, then extrude them again--that will provide the 'stair-step' or 'telescope' pattern you're looking for.
Alternately, you could set the cylinder to have a high number of divisions on the cap, then select all but the largest ring and extrude... deselect the next largest ring and extrude again... and repeat for as many stages as you want.