Not all ebook formats have support for the series information.
Epub has.
One common way to handle this is to configure a "plugboard" to change the name of the book to also contain the series information. It is possible to use the same trick for other fields as well.
Another possibility is to change the save to disk template to save books to subdirectories based on the series name.
There is a sticky thread with information about plugboards and save templates.
Another "trick" is to also save an opf-file along with the ebook file. It can contain all the metadata you wish. And when adding the book to calibre that metadata can be used.
Do some experimenting with a few books and test it out.
http://manual.calibre-ebook.com/gui.html#save-to-disk
Quote:
... Metadata is stored in an OPF file. Saved books can be re-imported to the library without any loss of information by using the Add books action.
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