Instantiate/Parent?

I have an object that is constantly moving through my level. When I instantiate objects using a script attached to that object, how can I make the new objects move with the object (basically, how do I make instantiated objects children of another)?

EDIT- I cant get your suggestion to work

var SPAWN  :GameObject;

function SPAWNER (){ 
transform instObj=Instantiate(SPAWN, transform.position, transform.rotation);instObj.parent = transform;
}

Transform instObj = Instantiate(...);

instObj.parent = transform;