https://www.mobileread.com/forums/showthread.php?t=10153
https://www.mobileread.com/forums/showthread.php?t=12677
The above links are the Sherlock Holmes Omnibus arranged and formatted by HarryT. It includes 4 novels and 5 short stories. The first link is LRF format readable on Sony Readers. The second link is PRC format which is mobipocket.
Check the E-Books link at the top of the page for many other works by Sir Arthur Conan Doyle.