Of course you would want to hear your podcasts in the right order. I have been asked several times by readers of the blog how they can make their player follow the order they need. With regards to university lecture series the issue comes up frequently, but also for other podcasts this is relevant. The lectures do not always come out of the feed in the most logical or in the preferred order. My solution for this is the playlist.
The playlist also addresses another problem than just the order in which the podcasts will be played. Many mp3 players treat podcasts differently from music. After finishing to play a music file, they will by some rule select the next, yet with podcasts they just stop. You will have to select the next podcast you want to hear manually. This can be a bother when your hands are busy or dirty with something else. Most of the time you will know in advance what podcast you'd want to hear next.
This is where the playlist comes in, although unfortunately not all mp3 players allow for podcasts on playlists. I use iPod and for my iPod I can define a playlist in iTunes. In iTunes I right click the iPod and choose New Playlist. A new playlist is created on the iPod and I can give it a new name, for example Podcast Playlist. Now I can drag podcasts to this playlist and they will subsequently be added. After addition, I can also rearrange the order by dragging the podcasts up and down the list. When I play my iPod, I can choose the playlist, start with the first podcast and when this one is finished, the iPod will move on to the next.
If you use another player, consult the user manual for that player to figure out how to create a playlist.