Sorry, i don't have the NW E507, i do have the NW-HD5 and the Bean and therefore some experience w/ Sonic Stage.

As far as importing non Atrac formats, all you have to do is click and drag them into your sonic stage library. Afterwhich you simply choose your transfer preferences from the options menu and Sonic Stage will convert them to Atrac or Mp3 as it uploads the music onto your player.

I personally own the Sony FM Transmitter b/c my Honda Acccord doesn't have a tape deck. It works as good as any I've seen/heard and it was less than $30. It doesn't charge the unit, but that shouldn't be a problem considering the battery life the NE E507 boasts. It powers itself via cigeratte lighter adapter. They still have them instock at Target.

http://www.target.com/gp/detail.html/sr=1-8/qid=1141329308/ref=sr_1_8/601-5655395-6653750?%5Fencoding=UTF8&asin=B000BDIREM

A word to the wise though, no FM Transmitter is going to produce great sound. If you have a tape deck in your car, I'd recommend a tape adapter or a new head unit for your car with an aux input.