Select all of the songs at once in itunes, and make sure they are in the order you want. Then right click, hit get info, and under the options tab, make sure part of a compilation is checked and says yes, then check remember position and make sure it says yes as well. Then delete the old songs off of your ipod. Then reselect all of the original songs again, and drag them over to your ipod.
I had a problem on my iphone 3g where the song was showing up under the same album, but was not being grouped with it under the albums tab. After doing this, it is included in the album under the albums tab, allowing me to listen to the entire album uninterrupted.
Hope that helps.