I don't think so -- the bookmarks are stored in the cache.xml file on the Reader or memory card (depending on where the book in question is located). You might be able to manually add a bookmark to that file (provided you successfully mimic the format), but it would seem like more trouble than it's worth.
I have noticed that if I set a mark in the Connect Software before xfering to the Reader, the mark shows up on the Reader. That might be some help.
Peculiarly, you can't set a mark in a file that's already on the Reader via the Connect Software.
![Thinking](https://www2.mobileread.com/i/smiliesadd1/thinking.gif)
You
can xfer the book to the PC side, delete it from the Reader, set your mark and xfr it back to the Reader, but that's a lot of trouble.
I'm hoping they'll allow bookmarking files in the Reader via the Connect software at some point. Clearly the Connect software is a work in progress -- servicable, but not elegant.