First create a separate folder for them and give it a name like "Audiobooks." Then just rename the tracks in sequential order, and they'll play in sequential order. ie. chapter 1 becomes 01, chapter 2 becomes 02 etc... If you have more than 99 tracks be sure to rename them 001, 002 etc...

As for bookmarking, that is a player specific function. As far as I know Apple chooses to give its customers the finger instead of bookmarking. In fact I don't even think the iPhone has a fast forward button. One way around this is to use a program like Audacity to chop long chapters into short segments and export them to mp3. You just look for 1-2 second long silence, and clip it right there. I find 10 minute segments ideal if I'm cutting up a track that's several hours long, but anything from 4-20 minutes would be okay. I don't even bother if it's less than 3 hours, because my player has auto-resume.

I don't think you want to mark them as favorites, because then they'll be played more frequently in your rotation, But you may want to make a playlist with them instead of managing folders. Some people like it that way. Either way, I'd rename the tracks to be all numeric.