Something interesting has happened. The Kindle currently lets you create "collections" (i.e., you can label your books and see all the books with a given label) but the set of collections you create is specific to that single device. Ergo, if own a Kindle and create collections on it, and then you buy a new Kindle, you have to import all the books you want to appear in collections onto the new Kindle and then import the collections from the first Kindle. This will label all the books currently on that Kindle. But if, after you import the collections, you later send one of your older books to your newer Kindle, it will not arrive with the collection label it had on the first Kindle. This was tedious!
However, Amazon has announced that you store collections in your Cloud Reader, too, and the Cloud collections can be imported to any Kindle.
The Cloud reader is really just a browser-based app that lets you read all your Kindle books from a PC, but since all your Kindle books (or possibly all your Kindle books from a specific date; I am not certain) go into your cloud reader, it should mean you can label the books once then import them to how every many Kindles you have.
I am very hopeful this will be as handy as it sounds! I had not yet created any collections on my Paperwhite so now I think I will create them in the Cloud and see how this works.
Addendum: Sigh. Not nearly as useful as I had hoped. You still have to create the collection on the Kindle Paperwhite, which means all the books you want to label have to be downloaded to the Paperwhite first. If you have just bought a Kindle Paperwhite, this is a great feature. If you're on your 5th Kindle, like me, not so much.