Make sure the files are MP3 (check the .mp3 extension before burning). iTunes will burn MP3 CD files no matter what the original is encoded. Change under preferences, advanced, burning. Sure WAVs are nice, but ten albums per disk is pretty sweet! I'm using cheap eBay bought disks with no problems.
I've tried several ways. Having folders is very handy for switching around instead of one big folder with lots of songs. Hitting the volume button will allow you to cycle through the folders, push then cycle through the tracks, push and play. You can also shuffle play a folder or the whole disk.
iTunes puts everything without folders, but its fast and converts to mp3 on the fly. Or if everything is mp3 all ready, just drag the folders into the burn folder.