Mac – Free MP3 merge for Mac OS X

MP3 to iPod Audio Book Converter will do this for you, it's free and open source.

Try this thread, it's the first one I've found that's seems to be on to something:

Essentially, iPod likes it's Audioboos in one large file. This means you'll need to merge your multi-file Audiobook into one large file and convert it into the .m4b format. Ipod will then keep track of your position in the file, but if you want chapters you'll need to set those too.

Luckily we're not the only ones facing this problem and tools exist for performing both operations.

There's a Freeware tool called: Chapter and Verse that can be found on lodensoftware.com

If you're willing to pay for the privilege, there is a shareware application called: Chapter Master that will place chapters in the kind of one long file Audiobooks iPod likes.

Mind you, you'll first need to convert your MP3s to M4A or M4B. This can be done through iTunes, as well as through a freeware application called: MP3 to iPod Audio Book Converter.

You'll have to Google these programs, the system won't let me post more than one link.

I hope this helps,