Christian, I'm not sure if this is what you want, but I think Instapaper (
www.instapaper.com) can do this, without any additional software.
The steps are as follows:
1. Save the web pages in Instapaper (the easiest way to do that is to install the Instapaper bookmarklet).
2. Go to Instapaper, log in, and copy the pages that you just saved to a folder (which you previously created; you only have to do that once).
3. Click the ePub icon. This will download the articles as a single ePub publication, complete with ToC.
4. Copy the downloaded file to your device.
I have never actually done this, so I can't be sure that the above will work. But I do a very similar procedure every week to get a bunch of magazine articles to my Kindle, and that works fine.