I have made a number of books doing exactly what you suggest. It works fine for an LRF, but for EPUB some links work and some don't.
Just be careful that the links are all internal and refer only to your book and not back to some external web site, ditto for the graphics.
If much material comes from one site, you might consider HTT Tracker which will copy a site or section of it onto your local machine so that the links set up better, if you do EPUB. For LRF they will need to be one HTML document. For that I use a program called Merge which I found on the net. Otherwise you will end up with extra head and end tags for each thing you take unless it is only a chunk in the middle. View Source is your friend and might be the way to copy it so you know what you are getting.
You might want to add a return to table to contents at the end of each section or make the chapter heads not only anchors you go to, but also links you click on which take back to the table of contents.
One other thought, beware of tables. There is a function in calibre, linearize tables, but it only halfway works because tables can be set up in so many ways. You will need to try to rid yourself of the tables, probably by editing the HTML. I convert </tr> to <br> then by searching for <t and </t find all the table related stuff and delete it. It is a lot of work. Have brain engaged when doing it as <t will also find <title>!!!!
I have also found the <div> hasn't always translated well, but it can generally just be replaced with <p> in a search and replace operation for <div replaced with <p so you don't lose formatting information.