I use the Kindle Collection Manager. I have about 2000 books on my Kindle in 19 collections. I leave the current book(s) out of the collections so they are easily accessible and put them back in when I've read them. Gotta say that if you don't have the Collection Manager - get it! It makes life so much easier

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I find it much easier to set up a collection, drag and drop books into it, or take them out - using my laptop and the Collection Manager than struggling slowly with the Kindle's own GUI.
Also, I haven't had any indexing problems or slow-ups using it.