When you plug in your Nook to your computer, "Card A" appears on the toolbar. Click the little down arrow and choose "Configure this device". About halfway down there's a sentence that reads "A list of folders on the device to which to send books." There's a textbox below it with a little button to the right. Click the button and direct it to your SD card and the MyFiles/Books folder.
But, I've noticed tonight when I plugged my HD+ into my computer, no checkmarks appeared in the "On Device" column. I had to click on the "Card A" and then back on "Library" before they would appear. Seems to be a bug in Calibre.