Okay - I have an older one, but am thinking of upgrading to the 505 now you can actually get it in the UK. The below should work for you, with the 505. If you somehow got the older 500, then it won't (but that was never for sale in this country, so you probably don't have the older model).
It should show up as a USB device, like a memory stick, and you can just drag books over.
To get epub boks working (drm'd pdf, the ebooks you buy from waterstones), you need a Windows box for one step (just once). The process is:
- get a drm'd book (presumably buy from waterstones)
- match the book to your adobe id (or whatever it is called)
- on a Windows machine set the Adobe reader software your ID
- plug the Sony Reader in (to the windows box), and it should show up as a device in the Adobe software, link it to your id.
- now you should be able to just drag and drop books across to it from OSX
In the above, you only need to do the Windows bit once. Obviously I've not tried this, as my reader is older, and really is Windows only
Mobile read forums are really friendly and hepful, someone there will happily explain in more detail, I'm sure.
Good luck, and once you get used to the workflow I hope you enjoy your reader, I have to say, I love mine. I read a lot, and I think it is just a beautiful device (and that's with me having to keep a Windows partition to update it, not needing that anymore would just be... yummy).