The key is to have a fully-filled out NCX file properly referenced in the OPF. Without that, there can be no chapter marks, which you can direct at various points within a single file, if you prefer, rather than splitting your chapters up into separate files.
The more direct way is to do your markup/assembly by hand/with text editor and command-line tools. As far as the NCX goes, this can be kind of tedious, but I like to fine tune mine, so I have a cut and paste template which I fill out) or with whatever suitable ePub-creating tool you like.
One warning: if you create nested navpoints, only the first level of them will seem to show up on the Kindle, but the rest will apparently be there, but inaccessible until you navigate to where one of them should be, and then flick the controller back and forth. They'll still be invisible though, which can be very frustrating.
Hope this helps, and welcome to MobileRead!
Last edited by ATDrake; 09-17-2010 at 06:49 PM.
Reason: Needz moar welcome message.