Is there a way to sort audio by file name in the music app on iOS 5?
Have you tried setting the track number in iTunes and then syncing again?
While not actually answering your question, do yourself a favor and select all the files for your audio book, Right-click one of them and choose 'Get Info' opening a dialog, similar to that in Loïc Wolff's answer;
Click the 'Options' category, and change the Media Kind to 'Audiobook'.
Only when something is classified as an Audiobook will you get features such as resuming mid-file. Music will always start from the beginning when you re-select it.
