You'll need to download most if not all Amazon content to the new K3, as that is locked to a single device. Samples are 'portable' if and only if they are non-Topaz (i.e. not '.tpz' or .'azw1' extension).
You may also want to copy 'My Clippings.txt' to the new kindle, or at least back it up in case you ever want to use what is in there.
As for non-Amazon content, if you value bookmarks and annotations, make sure you copy the 'sidecar' files that store these: they'll have extensions .mbp (for azw/mobi/prc), and .pdr (for .pdf). I don't think calibre will manage these for you.
As I discovered when moving stuff from my K2 to my K3, if you happen to copy some Amazon content to the new Kindle by mistake, it will not index and Kindle will drain its battery trying, and you'll probably not be able to delete these without tethering to your computer (because you can't delete files that are 'in use').
So as you load each batch of content on, you might monitor the indexing queue by typing '.' at the Home screen and pressing enter or select. That will show you how many unindexed items there are and you can open the indexing status item and see which items it has yet to do. Normally it won't take more than a minute for each item - if that - unless it is a large book (e.g., a dictionary).
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