When you get those that are multiple files, it's because they're HTML versions. If there's an RTF version available, it'll be a single file. If only the HTML is available, you may be able to open it in Word and save it as a single RTF in one go -- I'm guessing, 'cause I haven't tried that specifically.
I feel the same way you do about carrying a bunch of books, but I have found I like carrying a half-dozen or so. Basically, when I decide I'm going to read a book -- add it to my reading list, I mean-- I go ahead and add it to the Reader. I keep a collection for this purpose so that I can put the books in the order I plan to read them. That way when I finish one book, I can just go to the next without having to visit the computer. Then I just pull off the 'finished' books the next time I hook it up to the PC. Keeps me from feeling tied to the thing.
