I listen to audiobooks from Audible quite a lot. I never use 'shuffle' mode for books. I usually load only 1 book on my 512MB Shuffle at at a time. The great thing about Audible files is that whenever you pause or stop the player, it places a bookmark at the spot. So, even if the power is turned off, and you resume listening at a later time, the player starts off at the bookmark.
The only things to watch for is not to hit the rewind button (as you will be taken to the start of the book), or to hit the play button thrice (back to begining).
If you have loaded more than 1 book, each book maintains it's own bookmark, so if you use the FF button, you just cycle between the bookmarks of each book.
If you have a mix of books and music, as I sometimes do - no problem - when you are tired of the book, FF to music, when you want to go back to the book, FF.