Correct, the empeg does not do this. The Rio Receiver (as well as lots of other network MP3 players) do this quite well.

There has been work done with third-party software which works as a replacement player application on the empeg. Some of those apps do things which are similar to what you're talking about, if I recall correctly. They are not trivial to get working on the empeg, and they don't have the same set of features as the official empeg software. And the software would be pretty "beta" if you get my meaning. But if you're interested in doing some hacking, perhaps someone will chime in here with links to those pieces of software and some instructions for newbies.

Question, why not simply synch those songs to the empeg? If you're out of space, that issue can be addressed.