Calibre will add books in series order and make a collection for the series. The books don't have numbers, but since they are in collection order, that doesn't matter as much. Please note that this assumes you add them in order. If you add the third in the series later, it's not inserted before the fourth in the series.
You can modify how Calibre sends to device so that it adds the series number to the front of the title. The problem with this is that if you have, say, ten series, you'll have ten books that start with 01, ten with 02, etc. It can clutter up the title view if you care about that.