It appears that the new release, 7.21, will allow me to do exactly what I want, which is to include the series information with the title when I move the files to my Kindle.
I'm not sure what I'm doing wrong. I go to the appropriate screen (under Preferences) and choose all formats and Kindle. I then paste this
{author_sort}/{series}/{title} {series_index}
and choose title. I click on apply.
I have sent a file to my Kindle 1 and to my Kindle 3. Neither included the series data.
Where am I going wrong?