Delphi Classics also has a complete works of H.G. Wells which includes all of his short stories. There is a separate version for the US due to different limits on copyright in different jurisdictions.
The Delphi Classics books are well formatted, include a TOC listing the entire, complete works plus a TOC for individual works within the complete sets. Their complete works series are available in ePub and Mobi and are sold without DRM for $1.99 to $2.99 each. All the ones I've read are well formatted but they are constantly posting "fixes" to errors which are downloaded free to anyone who already bought a copy.
H.G. Wells in ePub format is here:
http://delphiclassics.com/shop/?p=1868
Choose "Series 1..." from the column on the left and page to the screen with H.G. Wells (US version) if you can't use the one I listed above.