Not only is it a pain, it often doesn't work out very well, although that depends on the format of the PDF.
The Kobo handles epub natively, so assuming that the books are sold in epub form, it'll be fine with them. However, I would read reviews of the ebooks you have in mind to make sure the publishers did a good job converting them to .epub format.
The new Kobo Touch uses the e-ink Pearl screen, which I think does make a difference.
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