Add non-Amazon books to Kindle for Mac app

I've become a big fan of Kindle apps and devices and use the iPad Kindle app almost exclusively to do my extensive reading.
So, I downloaded the Kindle app for my Mac from here. When you open it up and sign in with your Kindle account (or is it called an Amazon account?) all ebooks that you have previously bought from Amazon will automatically appear in your library.
However, I have a lot of books that I converted to Kindle format (.mobi) using Calibre. So, how to get these in to Kindle for Mac app?
This blogpost says to add the .mobi files to /Users/username/Documents/My Kindle Content.
Unfortunately, this folder does not exist.
The correct destination for your .mobi files is /Users/username/Library/Application Support/Kindle/My Kindle Content.
Dragging the .mobi files here will cause the new books to show up in your library the next time you open Kindle for Mac.
Incidentally, the first time I opened this folder, all the files inside were either in the .azx or .apnx format, neither of which I'm familiar with.
Something else, I just recently found that Kindle on my iPad handles .pdf files very well, although no dictionary functionality is available.
Similarly, adding .pdf files to the above My Kindle Content folder places the .pdf's in your library.