You'll have to do this for each playlist, unfortunately.

I remember how annoying that was. But luckily, I didn't have much music on my empeg when I discovered that. Now, I rip my CDs into folders like this:

MP3

 |-Dream Theater

 |  |-2003 - Train of Thought

 |     |-01 - As I Am.mp3

 |     |-02 - This Dying Soul.mp3

 |     |-03 - Endless Sacrifice.mp3

 |     |-...

 |-Symphony X

 |  |-2002 - The Odyssey

 |     |-01 - Inferno (Unleash the Fire).mp3

 |     |-02 - Wicked.mp3

 |     |-03 - Incantations Of The Apprentice.mp3

 |     |-...

Having the track numbers at the beginning of the filename means that the order doesn't get screwed up. I went back to plain ol' emplode and just drag and drop now. I do realize some people don't have that luxury, though.