Hey, MissLissa, the 500 takes Memory Sticks and SD cards (up to 2 GB). Since the 500 doesn't allow for collections on cards presently, I'd agree that the "small cards" approach is probably best if you're going the card route.
There is a thread around here somewhere that discusses what brands of cards do and don't work with the 500, I don't know if it'll hold for the 505, but I'd expect it to be similar.
If you just put your books on a card and pop it into the Reader it'll find them right enough. It will also go through the entire contents of the card looking for files it recognizes, so that's another plus for smaller cards.
The bottom line is that you don't
have to use Connect if you'd prefer not to for whatever reason.