The best way I've found to handle this for DJ sets is to use a single MP3 file and a CUE sheet with the times each subtrack starts. Then your media player has to support CUE sheets (Winamp has/had a plugin, Foobar2000 does, other than those YMMV). Matroska Audio showed promise in being the format where this would just work out of the box, but loses due to first mover advantage of mp3s and the market reach of other formats.