Be sure to use the same email and password for your Adobe Digital editions as you used to set up the Adobe account in your Sony Reader. That way you can transfer books back and forth. Also, when you click "open" on a library book it should open the Sony software and automatically load the book into your Sony Library -- at least that's how mine works -- or it will load into your ADE if you have your computer set up that way.
Good luck, have fun, and remember it's only complicated the first few times you do it. After that it's routine!