Connect is Sony's latest music management application. Firstly make sure your version is up to date by visiting the Connect site.
I use the previous Sonic Stage, and in principle the steps will be similar. Open the application and connect your player. You should have some option to import tracks into the Library, via Sony's Connect Music store, a physical CD, or a music file or folder already on your PC.
Then click on transfer to copy them over to your device, at the quality (bitrate) setting you require. Hover over all the transfer buttons to get an idea of what they do.