I'm on a PC and using a K3 but converting the script via MS Word may work for you.
I found a free copy of L.A. Confidential online as an HTML file. I opened it in Word and converted it to a doc file then to an .rtf file and lastly to a .txt file. You probably can go from html to txt but you'll have to play with that to see if it works. The formatting isn't perfect but the Kindle does read text files and you will be able to make notes.
I've included some screen grabs below using the 3rd font size (remember I'm on a K3 and not a DX).