Connect the Kindle to your PC, as a further drive, View it thro' Explorer or whatever and cut and paste all
the files relating to the same book from the Documents folder to the appropriate sub-folder of the Documents folder.
You may rename the files to make them clearer if you so wish, as I do, as long as you keep all the files for the same book with the same base name. This doesn't change the titles as they appear on Kindle; this is held within the book.
Do the moves before you add them to Collections, otherwise you will have to redo the Collections. Collections cannot be further subdivided, but I think you should be able to have a hierarchy of sub-folders if you wish. I just have a single level of Author sub-folders.
1999: Freeserve 48K Dial-Up => 2005: Wanadoo 1 Meg BB => 2007: Orange 2 Meg BB => 2008: Orange 8 Meg LLU => 2010: Orange 16 Meg LLU => 2011: Orange 19 Meg WBC