What I have used is OpenOffice.org to do the job of convert a web page to PDF.
While it takes a bit of formatting clean up, the basic steps are:
- Save the web page.
- Open it in OpenOffice.org.
- Save as an Open Document file.
- Open the Open Document file.
- Clean up the formatting.
- Export it as a PDF.
Something that I do is to make the page size the same as the screen size of my e-book reader. That way, it will look the same on my screen as it will look on my e-book reader and will allow me to identify any formatting issues before making the final PDF.
As far as linked pages, I haven't made use of them. What I do is put all of them into one document and then include a table of contents with page numbers so I can easily get to the page that I want.
I hope that helps.