Adding dynamic DropDownLists on demand

I have a DropDownList in my page and whenever it's index is changed, I want to add a new DropDownList in my page. Now, if the index of the previous List is changed, I just want to change a text but if the index of the latest one is changed, I want to add another DropDownList.  
I understand that dynamic controls can only be added earlier in the Life Cycle and so I can't handle this just in the OnIndexChanged event handler. I tried checking IfPostBack and adding them in the Page_Load method, but I get bizzare behaviours.  
Please guide me through the right way of achieving this. Basically, all I want is to add DropDownLists on demand. Isn't there a simpler way to do this?