To make your own .m4b files, rip your audiobook CDs to the AAC format (96-kbps mono is good enough; it yields 48-kbps files). Then rename the files from *.m4a to *.m4b. M4B files are the only kind that will remember (bookmark) your place. MP3s have no bookmarks.
CD audiobooks are made up of several tracks. It helps to choose the Combine option when you rip these so you get one large m4a representing the entire CD.