The link
exactly answers the question that you asked, and the plugin provides
exactly the features that you asked for. You simply have to read the documentation and use it correctly.
(No, you don't have to create the collections on the device beforehand - you can simply manage them using the plugin, then have it create/update the collections to the Kindle.)
Just read and follow the instructions under the "Create Collections on your Kindle automatically using Calibre data" heading, possibly starting with the "First use" one, then looking at the more advanced options and choosing the one which best applies to your setup.
