Welcome to MobileRead, zephyr!
We're glad you decided to join us.
So far as I know, there isn't any way to change the play order on the Sony Readers aside from changing the file names, as you noted. Unless somebody hacks the thing to the point of figuring out how to build such a feature in, I wouldn't expect it to show up.
I would also share that most of us have found the Reader to be a much better reading device than it is a music player, particularly since using it to play audio cuts into the battery life pretty deeply.
Up to you to decide whether it works for you, of course, but I do my portable audio listening on a dedicated MP3 player.
If the Reader played
Audible books, I might see it differently, though.
