I don't know the exact answer, but I have a few ideas. Have you tried making a playlist? I think you could do that on your computer, using Winamp or whatever, then load the playlist to the jb3. Another thing to check--when making id tags make sure you have the track numbers filled in (but this would only work with mp3's, not wav's). Let me know what happens--I'm curious.
You could also try loading them into "now playing" in the order that you want to hear them, and then make a playlist using the jb3.