There are two questions here, yes?
The first: collections. You do not need to download books again to change collections for them. Plug in your 900, go to the device view, double-click on the collections column for the book you want to change, and enter the collections. To the best of my knowledge, collections cannot be hierarchical. NB: don't start doing this until you are running calibre 0.7.5 (due out in a day or so). There is a bug in 0.7.4 and earlier that sometimes causes the loss of all user-defined collections.
After having said the above, I find editing collections manually to be extremely tedious. Calibre will build collections from tags (and other standard fields). Collections from custom fields is on the todo list. In order to save myself the most amount of trouble, I have limited my tags column to values I want to be in collections, and created another custom tags-like field for all the rest of them. I build collections from tags and series. This way I can let calibre be completely in charge of my collections.
After 0.7.5 is released, check the FAQ about sony collections. It explains some pros and cons of various management schemes, and describes a new calibre preference that tells calibre whether or not it can manage collections.
The second: directories. Calibre is very flexible with directories. The problem is (yet again) that custom fields are not yet usable in the save path.
Calibre will build varying-depth directory hierarchies if the levels contain fields and no text. If after substitution a level is empty because all the variables in that level were empty, that level in the hierarchy won't be built. Thus, if you use a save template of (say) {publisher}/{author}/{title}, books that do not have a publisher filled in will not have that level in the folder hierarchy.
The major problem is that you must have fields to keep this data in. In your case, you want to have genre (or something like it) as a field by itself. The best way to do this would be to use a custom field for genre, but you can't do that yet.
You can use one of the other fields (e.g., publisher or isbn), but of course that changes the field's meaning.
For example, if you decide you don't need publisher, then you could put genre in there. You would then use {publisher}/{author}/{title} as the same template. Since you are sending to a Sony, you don't need to worry about an author having identical titles; the sony driver puts a unique number at the end of the title.
Clear as mud, hmmm
