Feedburner and categories

So I've been experimenting with feedburner and I'm pretty happy with it out of the box. The only thing is, it doesn't seem to know how to feedburn category feeds and I don't want to have to go back into feedburner and create a new feed for each of the thousands of categories we're looking at.

Is there any way to set up feedburner to handle categories?

On a related question, is there a way to munge the headers to make feedburner's address the feed address?