The problem with this approach is that you do a lot of needless crawling of pages you'll never read and your copy isn't very portable. You'd need a computer to properly read these.
Some sites offer much better ways to hold all their pages together. Take blogs, where slate star codex fans have published a compendium of Scott's Greatest Hits or filfre the digital antiquarian where you can download ebooks of the posts by year.
ePub to do this is a fantastic idea.
ePub is ultimately
just a collection of zipped-up html files under the
covers. It allows for encapsulating images too.
Unlike a series of html files, you can use this on devices meant for reading like Kindles. Unlike a PDF, it can resize and resembles an HTML getting you closer to the original form of the content.
To that end, I built an epub creator. Given a series of links, it will got and fetch them, download the summarized version (which works pretty well), and assemble it into an ePub you can then download. Of course its barebones but I've always wanted something like this to read links I come across but am too flighty to read once on a computer.
Have a look and let me know what you think.