I'm afraid I don't know what the current situation is regarding MOBI files created using Calibre.[/QUOTE]
If you convert your book to Mobi using Calibre, it will make the way points. Unfortunately, it messes with the paragraph indentations so that any paragraph that begins with an italicized word or one in bold print will have an indentation that's different from all the other paragraphs.
I submitted a request for a bug fix a year ago, but I guess it doesn't have any kind of priority.