Originally Posted by poohbear_nc
The collections must be created on the Kindle itself. I have not seen any reports on shifting collection folders between devices.
Between a couple of Kindles registered to the same account, yes you can:
To import a collection from another Kindle:
Select "Archived Items" from the Kindle Home screen.
Select "Add Other Device Collections" from the Archived Items page.
Select "OK" to confirm.
Note: Importing a collection from another device does not import the books or other items to your Kindle if they aren't downloaded already. However, books already on your Kindle that are associated with a collection will automatically appear under that collection name on your Home screen.
Someday, perhaps, Kindle for PC/Mac apps will have collections, and it might be less onerous to create new ones using the apps rather than a Kindle, since you have a real keyboard etc.