I don't know about the Aura of course, but with my HD i do that (sideload books via calibre). I sideload them as Kepub because I like the advanced features and also create shelves via calibre, it took me 15minutes (seriously) to find, understand and set up the plugin to do that
I have not used the wifi once yet (i don't want kobo to force firmware updates, and I don't need it on anyway).
I only keep around 400 books or so though, my calibre library has 3000+ but I don't want it there, it'd be confusing, the shelves I create are specific to various reading lists I maintain on calibre (with reading list plugin). I have read of many saying that the reader becomes slow in showing and opening shelves once you have a large number of them (shelves, seems unrelated to the number of books?) but I can't confirm as I only keep 5! Also read of problems (being slow, again) with a large number of books on the SD card.