Getting everything into Calibre and organized, etc. is a bit of work. And sometimes it seems like you're organizing books rather than reading.
But having them all in Calibre sure makes it easier in the long run.
I've moved to a "workflow" where I download books to Kindle4PC or ADE first, then add to Calibre, and sideload onto the Kindle. The only exception are books that I buy directly from the Kindle, the impulse buys. I try to keep those to a minimum, and stick to planned buying. But if I do grab one directly onto the Kindle, I pull it back into Calibre the next time I connect up to my laptop or desktop. This lets me change the on Kindle title to one that includes the series name/number, and also set the Collections at that point. Oh, and cleans the DRM at the same time of course.