How do I combine songs in iTunes so they always play in order?

You can't join tracks that have already been imported into iTunes. If the tracks are from a CD you can reimport using the Advanced>Join CD Tracks option. You can eliminate the songs altogether from shuffling if you like. Click on the first track of your album in iTunes, hold down the shift key and click on the last track to highlight the selection. Click anywhere in the selection and choose Get Info, when you are asked if you want to edit multiple items say yes. If you are using iTunes 8 go to the Options tab in the box that opens and check "Skip when shuffling"

See this -> Track Splicer
"Sure, iTunes can join tracks, but only if they're consecutive CD tracks, and you haven't imported them. This script allows you to join any two (or more) MP3 tracks, provided that they are the same format and bitrate"
and this -> Join Together
"Join Together automates the process of joining the files of selected iTunes tracks together with QuickTime and exporting them as a single AAC Music or Audiobook file/track. Optionally, you can then create a "chapterized" audio file of the exported AAC file with pointers to the individually joined tracks."