All the options I listed except for the last convert the PDF to a text base MOBI file. So you will be able to highlight/leave notes.
The fist option is a PDF -> MOBI conversion where the only action you have to do is email it to get a MOBI file. THe other require some manual steps to convert the PDF to MOBI.
By all means the step you are proposing is possible, but it is the most labor intesnsive option. Having to copy-n-paste every page is quite a lot of work.
As for ePUB conversions. No problem calibre does a fantastic job converting ePUB to MOBI. Also if you install MobiReader, a free software from mobipocket, it too will do a great converting ePUB. MobiReader conversion is completely transparent, you don't even know you've converted the book. However you will have to manually copy the book over to your kindle device.
I probably recommend calibre even though you do have to hit a button to convert the ePUB to MOBI, copying the file to the Kindle is much easier.
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