PDF is not a good format for eBooks; that's not what it was intended for, and not what it's good at (although I know Hadrien would disagree

).
Best format for the Sony Reader is its native format of "LRF". It is efficiently compressed, resizable (which PDF isn't), and supports all the features of the Reader such as a table of contents, pictures, and hyperlinks within a document.
There are a number of excellent free tools available for converting other formats to LRF; the most popular are probably "Book Designer" (a GUI tool which will convert most other formats to LRF), and "html2lrf", a largely command-line tool for converting HTML to LRF; there are a number of other tools available too.
You'll find a tutorial on using Book Designer
here, and information about using all the other tools in the
Reader Contents sub-forum.
Have fun!