Well, the obvious answer is you should not buy Mobipocket format. While the Sony can read unprotected files by way of conversion by Calibre you have obviously found that it will not read DRMd files, in fact, without conversion it will not read Mobipocket full stop.
From the Sony site:
Media Formats Supported
* DRM Text : BBeB Book (Marlin)
* Image : JPEG, GIF, PNG, and BMP
* Unsecured Audio : MP3 and AAC7
* Unsecured Text : BBeB Book, TXT, RTF, Adobe® PDF10, Microsoft® Word (Conversion to the Reader-requires Word installed on your PC)
http://www.sonystyle.com/webapp/wcs/...52921665245739
The BooksOnBoard site even tells you that Sony is not compatible:
http://www.booksonboard.com/index.php?BODY=formats