Sorted how/where? In iPhoto? That organisation applies only within iPhoto - the files still have their original file names and so moving them back into the Finder will retain those names (and you're limited to auto sorting on file name, size, date, etc)
Rather than drag and drop, use Fle - Export, and use the naming options, for example Album Name with Number. That will rename the files according to layout and will sort alphabetically in the Finder how you want them.