I often download OverDrive Media audio books to my Mac and transfer them to my iPod via iTunes (yes, I can do that legally). Here are the steps to do that, assuming the downloaded media is in MP3 and not WMA format.
Download
I browse to my library’s download page, select the book I like then download it via OverDrive Media Console for the Mac. Afterward, I drag the MP3 files to my iTunes library.
Create Smart Play List
Select the File menu, then select Create Smart Playlist, enter the name of the audio book (or album name, in iTunes speak).
Setting the Options
I select all the files in my smart play list and select the File menu, then select the Get Info menu, click the Options tab button at the top and set the parameters according the the illustration. Two important settings are Media Kind (Audiobook) and Remember position (Yes). My audio book is now ready for me the next time I sync my iPod.
Hai's DevBits 