This is what I do when I edit my own files:
1. I make sure all my "Chapter 1/2/3/4 etc" are Heading 1 (from styles and formatting)
2. Then I save as HTML
3. Use Mobipocket Creator to make .PRC (and there I create a TOC by specifying "h1, class, western" in the Tags' 1st Level <-- remember Heading 1)
4. Simply convert .PRC to .MOBI by using Calibre
PS: I use OpenOffice to edit the files but I'm pretty sure it will work in Word as well.
And, sometimes, it works with other tags (in HTMLs I'm too lazy to edit) but most of the times I have to use h1, class, western.
Other times, when the book is already a .MOBI/.PRC I just run it through Calibre once and voila, chapter marks! But again it does not always work. People have explained it to me but it just flies over my head...
