I think we're still working on that question to find new approaches and get a consensus on the best ways.
But it probably depends a lot on what you want to get out of it. Branko Collins from TeleRead (or search for his name here at MR for info also) has provided some incredible information for those wanting to go "whole hog" and turn Gutenberg texts into something really nice. Others have written about that also. Pdf is probably the way you want to go for that on the Sony Reader. Others can tell you better than me.
My own approach seems to work pretty well for me, simply putting text files onto the Reader, and not making it fancy. Here's one place I described what I do:
https://www.mobileread.com/forums/sho...0958#post40958
RTF seems to be much quicker for the Reader to open and turn pages than pdf. I import it with the Reader desktop Connect software, which may give you some performance advantages, especially for the first time you open it.
Others report that ManyBooks LRF books can be moved to an SD card and work great. Haven't done it myself yet, but I'd actually recommend that method first because it take no work on your part if it's available in LRF. (The one LRF from Manybooks that I tried to import with the Sony software caused it to error out, but I never got around to trying to load it directly on my SD card.)
Good luck, and enjoy your Reader!