@adriantc - Welcome to Mobileread
Well I'd say that this is the one thing the plugin is designed for - but it does a bit more these days
Once you've got Calibre installed and the plugin installed, connect your Kindle. Then go to Customize and select 'Create' from the dropdown next to the Tags entry. If you then run Create it will create the collections on your Kindle (you can run Preview and look at the report first), although you'll have to restart your Kindle to see them. See the first post in this thread for even more details on how to use the plugin
One issue with tags is that lots of books come with lots of tags that you might not want in your collections, so you might want to experiment with it.