Nick
I think its a pain loading them directly into the unit. As Dave says it can be done but its time consuming if you are doing a lot. It also assumes that you have loaded some form of map onto the unit so you will probably have a PC to do this.
If you are wanting to load a lot of waypoints I would seriously consider getting some PC mapping software if you have the equipment available. If you have a map on the unit this will be the Garmin mapsource stuff as I dont think you can get any other maps onto it.
I use Memory Map, which can also be used on a handheld pocket pc to plot waypoints and routes, and it saves no end of time. Loading the software onto a pocket pc means I can still plot routes etc when Im not at home. I think all the other map software has pretty much the same functionality so it comes down to personal preference.