They may also be in the Audiobooks list. Recently Added isn’t a folder–it’s an index, and the files can also be located other ways. They’re not in two places at once–they’re just in multiple lists.
The files have data in them called ID3 tags that are like electronic labels, so the Sansa can sort them. If you have a folder with a book in it, open the folder with iTunes, highlight the whole list of files, click File and then Get Info. There should be spaces for Album, Title, etc. Change Genre to Audiobooks and save the changes. When the Fuze sees Audiobooks as Genre, it should list them as audiobooks (and won’t shuffle them in with your songs if you use shuffle mode).
Audiobooks is unusual because it’s both a folder and a list. The Audiobooks shown on the Fuze should list everything in the Audiobooks folder but also everything that you have labeled as an Audiobook.
