Yep, like some of the other posters I download all my books, regardless of format, onto my PC first - either in Sony Reader (which accepts ALL Epubs irrespective of where I buy them, or free) and Amazon for PC.
Then I import them into Calibre, where I clean them and change the format to Epub if required.
Then I copy them to any of my 3 devices: Sony, Kobo or Blackberry Playbook.
Hope that helps.