Actually, I just did a little testing. At least with MP3 files, Kinoma appears to play album tracks in the proper order so long as the album's MP3 files contain track numbers in their ID3 tags. A tagging utility can quickly tag or retag entire albums. I mentioned a couple of free tagging utilities with links to them in another thread here:
http://forum.ppcgeeks.com/showthread.php?t=94002.