Pocket Tunes will play your music or audio book files back in track order, as long as the track number is included in the Tag information that accompanies most audio files. You can check whether a file has the track number in it using Windows Media Player. Open Windows Media Player, find the track you want to check and right click on it. Choose 'Advanced Tag Editor' and confirm that a track number is included. If it is, Pocket Tunes can read it, if not, add it in and transfer the file over to your Palm.
Now, go to Pocket Tunes, open the menu, select 'Actions' then 'Open'. Make sure the drop down on the right hand side is set to 'All'. You should then see the folders 'All Content', 'Artist', 'Album', 'Genre' and 'Playlist'. If you don't, click the folder with the '..' beside it until you do. You can then either click on Album or Artist to navigate to the specific album you are looking for. When you open that album, you should see the tracks in track order. Any tracks that do not have a track order will be listed first. If you press 'Select All' the album will play back in track order. If you got to 'All Content' instead of the specific album, Pocket Tunes shows all your tracks in alphabetical order.
You can also use that approach when building a playlist. If you go to each album you want to add to a playlist and press 'select all' from within the album, the tracks are added to the playlist in track order.
A good tag editor for Windows is ID3TagIt (available here http://www.id3-tagit.de/english/index.htm), for MAC you can use iTunes to edit the tags, there are also stand alone tag editors available but we have not tried any as of yet.