At this point Calibre knows about, but cannot manipulate, collections on the Kindle. So, it's still worth tagging in Calibre for ease of sorting and finding, but you will have to duplicate it on your kindle.
I'm sure they're working on a way to get Calibre to put books into specific collections on the Kindle, but it hasn't been figured out yet.
I know it's bad form to quote yourself, but I just ended up doing some research on this.
Executive summary: there is no known way to easily manipulate kindle collections outside the kindle. You can do it, but it's very kludgy and currently error prone.
Details: Kindles create a backup of their current collections content in a file called "collections.json" The problem is that manipulating this file doesn't actually change the collections unless you turn off wireless and restart your kindle. Also, the entries in this "collections.json" file are MD5 hashes of the book filenames and sometimes some other information. So even entering data into this file may not get the results you want.
I wouldn't look for this to be added to Calibre any time soon unless the Kindle SDK is published and they provide access to the collections. Kovid Goyal (Calibre's lead developer) doesn't use collections, and he isn't highly motivated to add this feature. So, it's only going to appear if either Amazon publishes API access information, or another Calibre contributor decides to work on it, or both.