When I was reading Terry Pratchett on an original Kobo I edited the epubs to put the footnotes in line with the text (in a slightly smaller font size to make the distinction obvious). I used Sigil to do the editing. It was a manual process but it didn't take very long to do and it made it much easier to read the book.
Alternatively, if your Sony PRS-700 can follow hyperlinks then it would be pretty simple to add working hyperlinks by editing the epub (again, I would use Sigil).
Putting footnotes at the bottom of the page isn't really possible because the "page" varies depending on font size etc.
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