Not a problem. Actually, you're ahead of me on the manga front. Right now I'm using Manga Meeya to read manga, but I'm considering using Calibre for the library management aspect.
Both file formats mentioned (PDF and EPUB) allow the creation of a table of contents with links to other portions of the book. If I remember correctly, the current stable version of Calibre (v0.5.xx) is a poorer implementation than v0.6 (currently in beta testing) at converting any format into EPUB. Not sure about any into PDF. Considering you're new it might not be worthwhile for you to do beta testing and learning the program at the same time.
As for creating a TOC from scratch, EPUB is just a zip file with an epub extension. Change the extension back to zip, decompress and you can edit it in any editor. However, what exactly you need to do from there to create the TOC I'm not qualified to say.
I know that their are other topics on this issue though. Search the forums.