It's a question of how the movements - which come as individual files - are named. You may need to rename them. If you were copying from a CD for example, you would want to do it along the lines of
Symphony No.1 Movt. 1 Allegro
Symphony No.1 Movt. 2 Andante
Symphony No.1 Movt. 3 Scherzo and so on.
Even so if you sort by title only you'll get everyone's first symphonies muddled up together. You can put them in individual albums, but it might also be advisable to add the composer's name on the front as well:
Beethoven Symphony No.1 Movt. 1 Allegro
iTunes was never really designed for classical music, so it takes a little more fiddling about to get it to work than with popular music.