Hi Connie,
You don't necessarily need a sub setup for this type of situation. A good relationship and networking background with other VAs is definitely a good idea. This way, you can refer the prospect to the a VA you know pretty well and trust. The prospect will be happy you provided them with an alternative (they called you to begin with right?), the VA you referred the prospect to will be happy and you still helped out the person who initially called you (which is always a good thing).
Don't fret on the feeling like you let him get away...chalk it up to a learning experience..now you will be ready the next time you get a phone call just like that! I say kudos to you for telling him you were not comfortable assisting him with the task!
To explore the issue on subs...you can of course go that route. I am not sure where you are in your VA business. If you are established and feel like you want to outsource to a sub, then why not explore the idea more? Here is a pretty good thread on
subcontracting that you may be interested in reading.
Of course, if you are still somewhat new (like me) referring services to other VAs it probably a better way to go, until you are ready to not only conduct your own day to day work, but delegate and then check the work provided by your subs.