If you move all the files of one type onto the Kindle at once, you can right cursor on the Collection name and select Add/Remove items. Then, since everything for that collection is the most recent, you can use Menu to add all items on the screen. That's the quickest method I've found for sorting into collections in bulk.
If you want to set up collections on your PC, you might want to keep an eye on this thread:
https://www.mobileread.com/forums/showthread.php?t=94261