When using Calibre to convert from HTML, rather than converting to LRF (which is now defunct), consider converting to ePub instead, which is more future proof and will is likely to be supported by future devices (unlike LRF).
The Sony library software has one advantage over other software, because it displays ebooks as they will appear on the device; if you make formatting changes to an ebook you can quickly preview them in the Sony library.
Beware--although ePub is an industry standard, DRM is not. An ePub without DRM should be readable on all ePub compatible devices. An ePub with DRM is effectively a different format, and therefore will only be readable on devices that support that type of DRM. There are at least two DRM schemes currently used with ePubs: Adobe ADEPT, and Barnes & Noble DRM; AFAIK the B&N DRM is not compatible with Sony devices, so I suggest you do not buy any ePubs with it (e.g., from the B&N store).
Waterstones and WHSmith in the UK both use Adobe's DRM, so will be OK.