I've always kept my entire library on my reader, but I'm considering changing that to just the book I'm currently reading and the top 20-30 on my TBR list. Sorting and finding books was never a problem on my EZ Reader, but now that I have a Kindle and don't have folder support it's more of a pain to find what I'm looking for. I know it would be easier if I would just bite the bullet and get my collections set up, but with approximately 1,000 books in my library it's a bit of a daunting task, and every time I pick up the Kindle to start, I end up just reading instead!
As far as audiobooks go, when I first started listening to them my mp3 player didn't have the capacity to hold more than a few books, so I developed the habit of just having the one I'm currently listening to, and a very small selection (sometimes up to maybe 10 books now, but generally closer to 5) to choose from when I finish my current book.