If you have an MP3 CD and you want to combine all of the tracks into one and make it bookmark-able so you can play it in iTunes or on your iPod and have the software remember where you stop, here is one way…
First, I use a program called Amadeus II to combine all of the MP3 tracks into one. You can get Amadeus II from http://www.hairersoft.com/. Then save as an .m4a file. I use a bit rate of 32 kbps.
Bring that into iTunes and then use the Make Bookmarkable script on it. You can download that script from here.