Think about the way you want your books organised in collections before you download anything. Perhaps load the books by collection- create a collection on the Kindle- put all the books in it - and on to the next category. I like to use Calibre for downloading my books. There're several threads discussing collections on MR.
Lots of books seem to slow down the searchfunction. Other than that I didn' t notice anything.
When downloading a lot of books; you want to give the Kindle a rest and a load as long as the 'spinningwheel' (sign of work in progress;upper left corner) is still visible. Also give it enough time for indexing. I loaded about 2000 books on batches of 2/300.
Most of all; have fun. It really is a nice ereader.
