There is also the option to use the most excellent piece of software Calibre to transfer your .LRF files to your Sony reader.
The good thing about Calibre is that it is platform independent and works on Linux, Windows and Mac OS X without problems. It also contains a bunch of tools to convert other e-book formats too Sony's native LRF format and a Library function as well, designed to handle your library of E-books in an effective way.
You can read all about it in the
Calibre forums