The question was BULK convert. The reason to do this is time, as you get to choose when you have plenty of it
Select a group of books, Tap C (convert):
Make sure the output format is AZW3. OK
OTOH if you are just sending a few:
Eschwartz showed you how to configure the device driver, so
IF you sent a book that was NOT already in a Kindle format, it would offer to auto-convert.
From EPUB to AZW3, the job usually runs fairly brisk UNLESS the book has many images or complex markup.