Why not continuous playback between folders?

I had a Cowon X5 which had great sound but was quirky on every other front: software, proprietary connectors, battery. Heavy, too. But great sound.

Anyway, if you’re good at geekery you can use alternate firmware in the Clip+: Rockbox. It may have the feature you want.

Rockbox turns the Sansa into a dual-boot device–it sits alongside the Sansa firmware and you decide which one is the default.  

http://www.rockbox.org/wiki/SansaClip#Sansa_Clip_43