It's fairly easy to save ePUBs and PDFs to your SD card, whether from your computer, phone, or the library on the eDGe. You just use the library to select a file and then choose the location to which you want to save it. From your phone, you'd need an intermediary: either email the file to yourself then download and save it, or use a service like DropBox or SugarSync to access files in the cloud and then save them to your eDGe.

And to augment what OncTech said, depending on whether or not you've set defaults for certain functions, each time you open a PDF, you will be asked whether to want to add it to the library or use PDF-To-Go to open the file.