If you followed the steps that Terisa gave it should work. The two reasons it won't is if the series option is not checked in the configuration dialog and the metadata management option is not set to automatic. The latter is on the "Sending books to devices" page of the preferences.
If both are set correctly, could you run a debug session for me an post the log. Before connecting the device, open calibre and the device configuration. In the debug field at the bottom put the name of a book that isn't working. Save this and restart calibre in debug mode. Then connect the device, wait for the sync jobs to finish and close calibre. Then a window will open with the log. Post or send me the contents.