Tags can be inserted into Audacity, as you know. If they are exported to MP3, I think you need to export multiple files to keep the tags. But you still can listen to the different files continuosly when you make a playlist for the pieces in iTunes/Music/Rythmbox/Whateveryouuse. You could even set the pause to 0 in some programs.
Audacity has one set of metadata per project. There is no facility for attaching multiple sets of metadata to tracks or clips.
When using Export Multiple, it can be useful to enter metadata that is common to all of the exports (such as an “Album Title”). Then use a program such as MP3Edit to fill in the parts that are specific to individual files after they have been exported.