If the answer from Piper isn't what you were looking for have to be more specific in what you want to do.
Do you want to
1. Get books from your Kindle to a Calibre library?
2. Move book from another library/collection (call it what you like, books stored on your computer) to a Calibre library?
Piper answered number 1
For number 2 you can use "add books" (top left). Navigate to the folder(s) where your books are stored and tell Calibre to import them to the Calibre Library. From there on the collections plugin can be used.