Some people store this directly in the title in Calibre. However that is not the recommended way to handle this as it means that you cannot properly exploit the series support in Calibre.
You can set filename format masks for the Save to Disk and the Send to Device actions that allow you to set the filename to any format you want. These are set by customising the relevant Device Interface plugin for Send to Device or via the Save settings under Preferences for Save to Disk.
For many readers you really want this information in the data stored as the title. Calibre has a facility known as Metadata plugboards that allows this value to be manipulated when it is sent to the device.
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