I'm really not used to shuffle. It may only be because I am used to my old player. I used to use the iAudio X5L and when that got to the end of one album, you could set it to automaticly move onto the next one (just as I said, in alphabetical order). When it gets through all of one artists albums, it just moves on to the next artist without me having to do anything. With the X3, it just stops at the end of an album. Maybe it isn't a normal thing for a media player to have but it's just not what I am used to. I think I will try and do something similar to what you said sometime.
You can try to see if you can request a feature like this on bugzilla. See if there is any other people interested in this and if the developers thinks it's worth looking into.