After transferring your books to the Kindle (however you do that, but probably via USB), you have two options:
- Add each book to a collection through the Kindle interface... one at a time. You can edit a collection, though, and scroll through, checking each book to be added to the collection.
- Use the [GUI Plugin] Kindle Collections. This must be used in tandem with a helper on the Kindle itself, which requires a jailbreak, but you can modify collections in bulk using metadata filters from calibre.
