I don’t know why it’s doing that (I’ve only had my iPod a month). Perhaps the order in which you select the tracks makes a difference.
You could join all the tracks together - the option is under ‘Advanced’ on the ‘Import CD’ page.
If you did that, you wouldn’t be able to play the tracks separately. And it might be a good idea to pick ‘Yes’ in the ‘Remember position’ field on the Info page.