Yes, indeed you can twobob.
If you create a custom column in Calibre (I named it Kindle Collections for some unknown reason)
Then input the collection name you want into that field.
When you export it from Calibre you can specify that that is the Collection field for Collections Manager.
The rest is obvious.
Sorry if it's a little vague but I don't have access to my Calibre install at work as this laptop doesn't like USB flash devices which are above 8G.