Mine always plays them in the order that its meant to. I can't think that I've done anything special to them to get this - other than copy the folders they're in from my 'my music/itunes' folder.
I don't know if iTunes does something special to them to keep them in the right order?
I end up with a memory card full of folders (usually artist - album) with the MP3 files inside there. I'll have to check whether they've got 01, 02 etc infront of them... but I don't *think* so?