Geekraver's rss2book app is really great! I can't recommend it enough. It took me about 15 minutes to get my PC set up to use it.
First I downloaded and installed .NET framework 2.0 here...
Then I downloaded and installed the Open Source version of HTML2Doc (and the 2 required dlls here)...
Then I downloaded and installed, rss2book from the top post of this Forum thread.
Now, I'm reading all my favorite rss feeds as pdf ebooks on my Sony Reader. I agree with HeavyB above, that the virtuoso touch getting a Table of Contents of your rss feeds in the pdf. Try it. You'll like it!