AFAIK when you're burning an mp3 disc it is simply a data disc so it gets ordered by those filenames. Only work around I can think of is, as you said, place track numbers before each song so they're in the desired order (01, 02,...10...).
Now it would be cool if CD manufacturers tapped into the mp3 ID3 tags and allowed sorting based on that info. I wonder if such a feature already exists in sound systems but I haven't looked into any for awhile.