Hi Jonah and Rob,
I tried what you suggested, but it seemed to overrun the event setup. Since the Events disappeared from the WP menu in the admin area.
I then had a look around the codex and I found this page: http://codex.wordpress.org/Function_Reference/register_taxonomy_for_object_type
I tried this and it seems to work since I can now select post categories for the events. Now I just need to display the categories via the event template and it should be good to go.
Will update if I run into any issues.
Thank you for the help!