Welcome to MobileRead, rosie_james!
For conversion ... I think I'd point you at the wiki to begin with. The
Sony Reader section has a good basic discussion (especially since DaleDe recently re-vamped it
).
Also, I'd suggest you look at the sections on
BookDesigner and
Libprs500 as they're both excellent converter apps. They each link back to forum discussion threads, so there's a lot of information behind them.
And, of course, ask specific questions as you come up with them.
And have fun with your new toy!