Yes - as long as the device is seen so you can use "Send to Device" it does not matter if you use main memory or one of the card slots the Collections are set up. I have a 8GB card fitted to my PRS-505 which is a LOT more books than can fit in main memory
The device should be seen by Calibre as long as the drives are seen and mounted by the OS - this is normally automatic so it is not clear why it is not working for you. You can run a diagnostic test (as described in the User Manual) to get diagnostics on what is happening at the Calibre USB interface level. Note that you must NOT have the Sony software running at the same time as it will interfer with Calibre.