While you can do this sort of thing directly, I use the LinqKit library which makes such progressive query building really easy:
You would end up with:
var context = new AdventureWorksDataContext();
// Step 1
var query = context.Customers.Where(d => d.CustomerType == "Individual");
// Step 2
query = query.Or(d => d.TerritoryID == 3);
The system I'm working on needs a lot of this, and LinqKit is a major life saver. You can find it here.
(Note: I'm not affiliated with LinqKit's developer in anyway - just a fan.)