Merge them into one file with Audiobook Builder
Edit: came back to the thread & saw you're on Windows. Looks like the equivalent is MP3 to iPod Audio Book Converter
If you're on a Mac, I can definitely recommend Audiobook Builder which is a truly fantastic piece of software able to convert a stack of MP3s into an MB4 file (nothing else than an m4a file with bookmarking capabilities). It's Apple's standard for audiobooks and will work without issues on an iPhone or iPod. There's something very similar for Windows called MP3 to iPod/iPhone Audio Book Converter.
If you enjoy listening to audiobooks from an Android device, Smart AudioBook Player is handsdown the most perfect piece of software for you. Hand it a folder of MP3s (or all kinds of different media) and it just does magic. It stores your position and has all kinds of other functionality. Have a try, it's definitely worth it.
If you're looking to have them in iOS compatible *.m4b format, AudiobookBuilder is excellent on MacOS, http://www.splasm.com/audiobookbuilder ; though still a relatively manual process. I'm unsure of any similar software alternatives for Windows.
For manual direct modification of files I've had the most luck with eyeD3, http://eyed3.nicfit.net .
I buy a lot of books on CDs. These usually come in mp3 format. For various reasons, I prefer my audiobooks in m4b format so I use this application on a mac to convert them. Once converted I use the iBook application itself to listen to them (iPhone, I do not use an Android but I am sure there is a suitable app in the google store to read them). I have not yet found a way to load m4b files to the library on the Audible app. I think (100% conjecture on my part ) this may be due to DRM.
If you do not have a mac, I am sure that there are many suitable mp3 to m4b converter.
I tested several books. All were made by Audiobook Builder and I listened to these books on iOS in the past. I'm pretty sure the files themself are OK at least as far as Mac/iOS is concerned.
I'll try to build a small sample book after the holidays.
What I forgot:
When you drag them from their folders into iTunes, is each book one file or multiple files (e.g. a file per chapter)?
And, what format are the files?
To have them properly listed as "Audiobooks" instead of "Music" there's two things you could try:
Convert the file(s) to M4A format (this article is old, but the steps are still the same / similar: http://osxdaily.com/2010/05/01/convert-songs-to-mp3-aac-m4a-or-other-formats-in-itunes-9-1/), then copy the files out of iTunes, rename their extensions from M4A to M4B, and copy them back into iTunes.
Use the free Audiobook Builder app (http://www.splasm.com/audiobookbuilder/) to convert your file(s) into the correct format and add them to iTunes.
Let me know if either of these worked for you!
If this is common knowledge then I'm sorry, but I went through and downloaded a ton of classical philosophy from here which I plan on listening to in the near future. I also use the app audiobook builder to convert them into iTunes format audiobooks which I can put on my phone.