I know this doesn't exactly answer your question. And that the desktop-n-sync method of podcasts is valid for a lot of people.
This issue is exactly the reason I developed integrated file management in FeederReader. It downloads podcasts directly to your Axim. And one tap of the "Delete&Play Next" Icon and it deletes the current podcast and begins playing the next. You don't have to figure out what you've listened to and what you haven't before you download the next wave of podcasts.
Greg Smith
Author, FeederReader - Pocket PC *direct* RSS text, audio, video, podcasts
www.FeederReader.com - Download on the Road