MobiPocket has a batch tool, mobigen, and if you want to put multiple HTML pages in a single e-book then MobiPocket Creator can do this, see downloads at the:
Mobipocket Developer Center. There are other options, see
E-book conversion.
Advantages of converting to .mobi are that you can preview (and use) the result on other devices and you get a single file per book (that includes images and potentially multiple html source files). The advantages of staying in HTML are that it is easier to edit later on and is viewable via a web browser. I expect local images referenced by HTML pages to be displayed.