Hmm, tricky. If you only ever want to listen to your concept album all-through, you could re-encode it as a single MP3. (This treatment would work on Pink Floyd's The Wall, for instance.)

Is there anything so wrong about this plan: listen to the whole lot on random play, then, when a song from Operation: Mindcrime comes on, manually turn shuffle off (press 0), listen until the album ends, then manually turn shuffle back on again?

Peter