PubMed has now made it simpler to import collected citations into your citation management software. Included in the drop down box where you email a list to yourself is the new choice "Collection Manager" which creates a file with an "nbib" extension. That file can be imported into your citation management system.
Websites referenced:
http://www.nlm.nih.gov/pubs/techbull/ma12/ma12_pm_cite_mgr.html