Yeah, I use CDex to rip the Audiobook CDs to mp3 and then just copy the files to a CF or SD card. TCPMP keeps track of where you were in a song or, in this case, an audiobook track so when you exit and re-open TCPMP it is as simple as pressing play to restart where you left off.
CDex:
http://cdexos.sourceforge.net/
TCPMP:
http://picard.exceed.hu/tcpmp/test/
There are other options for ripping (dBPoweramp for one) and playing (mortplayer, gsplayer...), it's all about what you find easiest and suits your style.