I was unable to located any utility that would convert *.mp3 files to *.aa format. Audible.com's .aa format is proprietary and not open source.
Well after several hours reading, experimenting blah blah I think I may have this problem solved.
I used an mp3 joiner utility and combined all the m3 files in the audio book into one and then placed the new single file into a folder with the book's name and copied that folder into the Audible folder of the Kindle that way you would normally do.
When I started the Kindle the book indeed showed up, along with the cover art, however instead of each chapter listed it only showed the one file.
I then started that file and voila.....it plays from the very beginning just fine. Concerned that the 'bookmark' feature may not function as the file is an *.mp3 and not an *.aa file I PAUSED the audio book, turned the Kindle off and the restarted it, returned to the book it started playing in the same spot where I had left off.
I also used tried PAUSING the audio book and used a different function of the Kindle (reading a different book and also playing a different audio book) and again, when I returned to the book I had paused, hit play, it continued playing that audio book without losing it's place.
So far I'm very happy.....
Again, I only had to do this with an audio book that was bought from a different source than Amazon's Audible.com and was in *.mp3 format instead of Audible.com's *.aa