There's no way to natively do it. Solutions people have found are things like the Book Collections app, using Shelfari or Goodreader (Shelfari will import your Kindle library from Amazon), spreadsheets, Calibre, etc.
I use Goodreads, as I can put books on shelves, and I'm experimenting with Shelfari which also has shelves and can import my library.
I had great hopes for Book Collections(?) but I found you lost too much by using it. You got the ability to sort into collections and open a book and read it. But you can't do highlights, looking up definitions is awkward, and you have to write down your location to go back to it. This was the big downer for me. I haven't tried it lately, if they have been able to fix that, great. Last I checked, it was $2.99.
There are people who like it, so I include it here. Here's a link:

Betsy
I use Goodreads, as I can put books on shelves, and I'm experimenting with Shelfari which also has shelves and can import my library.
I had great hopes for Book Collections(?) but I found you lost too much by using it. You got the ability to sort into collections and open a book and read it. But you can't do highlights, looking up definitions is awkward, and you have to write down your location to go back to it. This was the big downer for me. I haven't tried it lately, if they have been able to fix that, great. Last I checked, it was $2.99.
There are people who like it, so I include it here. Here's a link:

Betsy