It all depends on the type of books you bought...
When it comes to protected content, the Sony reader only supports Adobe (ePub and PDF) and LRF formats.
Calibre can manage DRM'd files, but won't be able to display them. It doesn't mean that they will not show up correctly on your reader.
There is one caveat, though : I read that you are a Mac user, and as such you're unable to install the Sony Reader software and the drivers it contains, which help Adobe Digital Editions connecting to the Reader device.
So this leaves you with only two options...
1. you strip the books you bought of the DRM they carry, and convert the resulting open files to a format suitable for Calibre and your Reader : this is illegal in some countries, and quite difficult to do.
2. you find a Windows PC, install Adobe Digital Editions, and use it to authorize your reader (basically, it links the Reader device to your Adobe userid). Once authorized, you'll be able to use the Mac version of Adobe Digital Editions to upload DRM'd books to your Reader device.
There are many threads here that'll help you, and if you need more help you can page me ...