Easiest way is to create a playlist

I just create a play list in iTunes - for instance - 

Playlist: Allagash scenery vol 1

Then put the chapters all underneath 01 - 12 in order.

Now you have one thing you can pick in iTunes under playlist - and it's still separate chapters if you want to easily jump ahead in a hurry to a specific chapter.

Suggestion for Future Releases

Joe-

I just downloaded the videos and did something different.  I changed the media kind (right click -> get info -> options) to TV show and then marked marked the files as TV shows.  After that I went to the info tab, selected the 'part of a compilation' box and then added the track numbers on the same tab.  This way iTunes knows to just play the episodes in order and I personally think is a bit 'cleaner' with the way iTunes works.

Is it possible for you to have this type of format built into the files ahead of time when they are downloaded.  I buy video downloads from http://www.thegreatcourses.com and they have this built right into the file when I import it into my iTunes library initially.  Makes for a very easy transfer to my devices.

Looking forward to checking out the videos tonight!

Great idea