Many of us here use BookDesigner to create our own books and/or load Public Domain and Creative Commons titles to the free ebook section.
BookDesigner is useful because it can create a TOC.
Word's RTF files can be loaded onto the reader. That's fairly painless; however, the downside is that the files are rather large and there is no ability to create a linkable TOC.
Finally, let me extend my welcome to you here at MobileRead and in hoping you have many, many hours of reading pleasure with your Sony 505.
Don