On MYK you would have to do one at a time, but from your Kindle you can just tap each book in your Cloud view, and add each one to be downloaded. One tap per book, it's quite easy.
The new MYK that was up for a while had an option to check books and do bulk actions on them, but they took it down -- presumably at some point they will re-update MYK to the new finalized version...
You could also keep your Amazon books in calibre (DeDRMed), which makes them easy to transfer.
