Not really, as you already have your outlook calendar 'in categories' chances are these are the same headings that you want different calendars for, so right click on calendar, add new calendar folder, change the appointment view on outlook to 'by category' highlight all the appointments in that category and move them to the new calendar folder. Sync the iphone, choose that/those calendar folder(s) to sync and that's it. 5 minutes.
There are only 5 colours available though, so if you have 6 categories one of the colours is repeated. Bit pointless.
I found it's really worth doing as the iphone calendar has no search facility. (Worst thing IMHO about the iphone) so, you know you've got a birthday coming up don't remember when, you can then show just birthdays in the calendar and scroll down the list view. Much quicker. Still not as good as a search, but livable with.