I think you can do this via Calibre. But as far as I know, collections are more like a tag on a book; a book can be in more than one collection, so there's not a physical location as such. I think in Calbre you can designate which collection the book is going to be in before you send it to your Kindle; apparently setting the "tag" before you copy it. One of our Calibre power users may be able to tell you more.
If the book in question is already 'collected' on a different device, just import the collections from that other device and books will automatically go where they belong. Of course, brand new books still need to be 'collected'.
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