In Kindle Formatting: The Complete Guide
Joshua Tallent says that the way to get waypoints into a Kindle ebook (using MobiPocket Creator and then uploading to Amazon's DTP) is to add a toc.ncx. This may be why Hadrian suggested converting an ePub (which has a toc.ncx) to MOBI using mobigen.
This does not tell us what gets added to the resulting MOBI for the K2 to use. When I try exploding Joshua's AZW file (which is DRM-free) using mobi2html (MobiPerl) or mobi2oeb (Calibre) I don't see anything obvious. I get a toc.ncx from mobi2oeb, but that is normal.