One of the reasons I don't listen to audiobooks is that I hate losing my place. I tend to go back and forth since I download lots of daily podcasts and don't want to fall behind. I reserve the audiobooks for downtime when I am caught up on those. When you've got 9 different files of over an hour each, it's a pain in the neck to try to remember where you were.
Hopefully the above trick (which is an iTunes thing, by the way) will work. I could combine all the CDs into one massive file if it does, and then always remember my position when I come back to it.