For newer Kindles, you would need to jailbreak the ereader and use a couple of calibre plugins. I don't have a jailbroken Kindle but seem to remember that you need Kindle Collections and LibrarianSync or Collection Manager (older Kindles only for CM). Check the Plugins subforum in the calibre forum for more information though this thread (
[GUI Plugin] Kindle Collections (Update) ) is likely to be the most helpful.