exporting files

I’m currently converting my vinyl collection to MP3 and WAV file formats and using export multiple to name individual tracks. However, some of my vinyl are concerts and it would be nice to export it as one contiuous MP3 or WAV but with labels names fro the individual tracks. Is this possible with Audacity? Another thought just struck me that this names wouldn’t show up on any display on my playback device.

Many playback devices support “playlists” http://en.wikipedia.org/wiki/Playlist