As theducks says, getting your Series column in Calibre populated correctly is the key to the best approach.
You might be interested in the
Manage Series plugin to assist with that. That will let you drag/drop books into whatever order you like with the intent of setting the series column value correctly. It is just a more powerful/flexible alternative to manually typing in series values or using the edit metadata dialogs.
Once you have done that, then you look to how to order them correctly on your Kindle. The approach I use is with the Metadata plugboards feature (Preferences->Metadata plugboards). Look on the forums, there are examples for Kindle in the
sticky thread. I setup a plugboard which means the title metadata inside the book stored on the kindle has series prefixed before it, so you can sort by it. In my case the plugboard I use is this one:
{series:|| }{series_index:0>2s|[|] - }{title}
So I get titles appearing on the Kindle like this:
The First Law [1] - The Heroes
Hope that helps.