Check out our own book collection here -
https://www.mobileread.com/forums/ebooks.php
These books have are much cleaner versions than you'll find at Project Gutenberg. People clean up the scanning errors, insert a Table of Contents, include italics, and even illustrations. Books by people like HarryT look just like the paper version.
Calibre is a great program to use with a Sony, especially for the way it creates Collections. Just be aware that if Sony and Calibre both try to write to your Reader at the same time, your Reader will get confused. It's best to make certain that Calibre or the Sony software is closed first.