Calibre will add covers to DRM'ed ebooks. You just need the Sony software if you want to buy from Sony's ebook store. If you buy DRM'ed books elsewhere, the Adobe Digital Editions software works good too. I normally strip DRM, because not all my devices support ADE (plus I'm a linux user, and ADE is cludgy with WINE), but you can buy with ADE and then import straight into Calibre.
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