I've had two Cowon mp3 players and it is pure drag and drop. Go into the menus and set the play music boundary or something like that. I think that you can choose from individual files, folders, sub-folders, and such. Try it at the folder or sub-folder level and that may work.
That helped me immensely. From the main screen, I clicked on Music, which then gave me several different options. I had gone to "Albums", thinking it would recognize the 3 different folders as different "albums", but instead it just presented me with one album called "Unknown", inside of which were all of the songs. Instead of picking Albums I was able to pick "Folders", and then it presented me with a traditional file browser-type interface, with each of my 3 folders there.
The next thing I'm trying to figure out is the display name for the files. When I was viewing all the songs dumped into that Unknown folder, it labeled the songs according to their tagged names (the song title). This folder view allows me to play the "album" I want to, but the files are just displayed as, for example, "skellogg2011-05-03d1t05.flac16". Do people generally create an entirely different set of files, with the song titles in the file names, for transferring to these devices?