Yeah, that set is a lot of work! With audio books I usually treat the entire book as one CD, but with many individual tracks. It takes a lot of time and effort to do it this way (since you'll get different tags each time you put in a different CD), but it makes it easier to find your place if your bookmarks get erased somehow. As for how I actually tag: I do something like this:

Title: Book 1, Chapter I- A Long Expected Party, Part 01
Source: The Fellowship of the Ring
Author: J.R.R. Tolkien

I'm not sure this is the best format, but it's consistent. It took me a couple of hours to get the whole 46 CD set correct and in order though. The only thing I regret is that the reader isn't in the tag information, but I suppose that's the way it goes. I have the same problem with classical music.

BTW, the thing I hate about this set is that the reader starts off each CD with "The Fellowship of the Rin, CD X", which stinks for an mp3 player. The Harry Potter books don't do that. I know I could fix the tracks, but that's more work and I'm tired of messing with a set I'll listen to very infrequenly.

Also, for some reason I just don't like to listen to this set while driving. I don't know if it's the reader or just that Tolkien isn't meant for driving, but I find it difficult to concentrate (not a problem I have reading the books, though).