Welcome to MobileRead, mikew!
And congrats on your new toy.
What you're describing is pretty normal: when you put an SD or Memory Stick into a Reader (this is true for the 500 as well as the 505), it goes through the
entire contents of the card looking for files it recognizes (books, pictures, MP3s, etc.). When your card is big, and/or has lots of files on it, it takes the Reader some time to sort through all that stuff and index it so that it can serve it up to you when you want it.
One way to speed things up is to load your files onto your memory card through the Reader's PC side software (if you have a PC, of course). When you do that, the PC does the heavy lifting of indexing all the files.
However, I'd suggest that you think about how much your
really need/want to carry around on your Reader. Most folks seem to eventually conclude that they really only need a few books at a time on the thing, and ditch the bulk storage.
Personally, I just have the things I'm reading, and a few that I intend to read next (6 or 8 titles at a time, typically) -- I kinda use the Reader as a "Reading Shelf," as well as an actual reading
device, simply adding books to it as I decide I want to read them, and pull ones I've already read off at the same time.
There are exceptions, of course, if you plan to be away from any computer for extended periods of time (like months and months) then, yeah it's probably worth cramming an SD card with books. If it's just the novelty of carrying the whole world around with you ... well, that usually wears off pretty quickly.
The other drawback to using memory cards is that they tend to noticably drain your battery faster, because the Reader has to power them as well as itself.