Hello and welcome, and the love will only grow deeper
I can't advise you on the Sony directly, since I dont have one of those. What I can advise on is format.
DO NOT use PDF, EVER! PDF is a bad, bad BAD format for e-books.
But there is a plethora of different converters that will take just about any format and convert it to an LRF file which I believe is the native format for the Sony device. So basicly, you can buy even DRM protected mobipocket and MS Reader formated books, and with a relatively simple process remove the DRM protection, convert it to an LRF, drop it to your Sony device and read away!
There are loads of threads on this forum which in depth describes exactly how you go about it. Basicly just do a search for "convert to sony" or "convert to lrf"
Happy reading!