How would one (download and) convert HTML-structures into EPUB (or any other format suitable for the Sony PRS-505 reader)?

My question is not how to convert a single HTML file into an EPUB file, as this is easy; what I mean is, I have some books I want to read on my Sony PRS-505 and these books are most often online in HTML format but withmany interlinked pages and there is one page with the list of contents, like this example http://www.edge.org/documents/ThirdCulture/d-Contents.html

... or sometimes it's a little bit more complicated as the list of contents only lists the chapters, and inside the chapters there are links to sub-chapters, like in this example: http:SLASHSLASHwww.hyw.com/Books/WargamesHandbook/Contents.htm (I can only post 1 hyperlink now b/c of user restriction, so this is why there is SLASHSLASH instead of //)

I want to convert these examples and several others, with correct chapters, images and some acceptable formatting etc, so basically I want to make a proper ebook out of the HTML-tree.

What is the easiest way?