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Well firstly if you cut up a liveset with a program like soundforge or mp3 splitter you can burn it without spaces on nero.
You will need to select all the tracks once u have put them in the window to burn. right click and select properties, then set the amount of time to have between the tracks, which in your case will be 0. It will probably give u a warning saying that the first track will need to have a 2 second gap, but thats only at the start, so the liveset will run all the way through without a gap.
Next problem
I have a creative zen mp3 player - www.creative.com
It doesnt skip, it has a 20gig hard drive, and it is very easy to transfer mp3s onto it via its usb or firewire cable.
You can pick up the other models for around £150. They hold a lot more tracks, and all round are better than a mp3 cd player.
You can get some good mp3 cd players, but i like my hard drive mp3 player. 
Hope that helps
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