The Sony Connect software stores it's files on your PC, where depends a little on the version. Search for .LRF or .EPUB files.
When you say "transfer them over" that's not as simple as it sounds. If you have DRMed files, the concept of DRM is that you can only read them on the device you bought them for. That's not something that most folks think well of when they find out. While Google might help you find solutions to the issue, the legality of those solutions is disputed and discussion on this forum is not permitted.
If your files have no DRM, then you are a happy camper. You might want to look at Calibre, it's an excellent tool that can talk to both readers. I use it to update both my Kindle and Sony.
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