If you change the Genre tags of your files to Audiobook you should be able to bookmark them. Those tags have to be in the files. Just going to Audiobook won’t do it.
I believe that if you Pause an Audiobook file and listen to something else, you’ll go back to the bookmark when you resume listening to the Audiobook.
In iTunes you highlight the file, click on Get Info and change Genre to Audiobook.
If you want to do a bunch at a time, you can also see if there is specific tag editing software for Mac. PC people have mp3tag, which will run under emulated Windows on the Mac
If you do use a tag editing program instead of iTunes, then choose the ID3 version that Sansa likes best : ID3v2.3 ISO-8859-1.
I haven’t installed iTunes 11 because it’s such an ugly inept piece of garbage–10 was decent at least–but previous iTunes used ID3v2.2, which worked. But ID3v2.3 is better.
In mp3tag you make ID3v2.3 ISO-8859-1 the defaults under Tools/Options/Tags/Mpeg/Write. As far as I know, iTunes doesn’t let you choose the tag version.
In case you’re wondering, ISO-8859-1 is Windows encoding for the text. The Unicode (UTF) used by Apple can sometimes confuse the Sansa. If you have those options available in your tag editing software, make those the defaults.
I run every album through mp3tag and, under Tools, use the Auto-Numbering Wizard with leading zeros (01, 02, etc…because albums numbered in iTunes will play track 1, 11, 12, 13, etc. before 2). Running the wizard fixes the track numbers and gives me ID2v2.3 ISO-8859-1. It takes about 5 seconds per album and is well worth it.
I believe the only playlists that Sansa will handle are .m3u and .pla. Apple likes to keep things proprietary. Luckily your files are mp3 and not m4a.