+1 for what vishcompany said. I have had two Sony readers, and have had the occasional download of a kindlebook that I wanted to put on the Sony. It's just a matter of (1) strip drm, then (2) convert to epub via calibre (or other ebook converter of your choice).
THis is much like the process I've gone through downloading books from B&N. Remove DRM.... it's already in epub format, so once DRM is gone it it ready to transfer to your Sony without any further modification needed.