Have done this with 2 anthologies containing 3 stories each.
It makes the individual stories much easier to find.
Discovered that it can be done using Sigil by copying the file, then removing all the other stories from the copy, leaving the one in question as a separate file.
Discussed this subject with someone (at least several months ago), on one of the Calibre threads, I think.
I have no doubt that it's a much greater pain to handle when larger quantities of short stories are involved.
I use personal catalog numbers to match bookcover art in folders and added -00 through -03 to them (by story order), with the -00 for the original [complete] anthology.