Depends which unit you have for the exact filename, but you will want to transfer the .mbp1 (for mobi books) or .azw3r and .azw3f (for azw3 books) files -- they contain the annotations/page numbers/reading position.
On the Touch/PW they are in the *.sdr/ folders alongside each book, within the documents folder.
On the Keyboard they are IIRC directly alongside the ebook files.
I am unsure about Kindle4PC/Kindle Fire, or any earlier Kindle e-ink.
All this data uses matched file offsets to locate annotations, which is why conversion throws a wrench in the process. The formatting changes cause the offsets to change. Metadata changes do not qualify to mess things up though, don't worry.
A DRM-stripped Amazon book will still match the official data, if you avoid converting it. Non-Amazon books will match so long as you stick with the same converted copy on each device.