Basically whenever i select an album and play it, it is fine, but then i try to play another album with it (i want to shuffle) it takes off the first album I put on and replaces it. I want the first one to stay on so I can shuffle the albums together. I hope I explained this well. The two albums are by different artists.
Go to your playlist list and select On-The-Go, and then Edit. Add both albums to the playlist, and save it. You can shuffle it, and add any songs/albums you want. It’s not permanent, so as soon as you want to make a new on the go playlist, you can. Or you can save it when you sync your iPod on your computer. 
Hope this helps.
March 1st, 2010 at 6:58 am
Go to your playlist list and select On-The-Go, and then Edit. Add both albums to the playlist, and save it. You can shuffle it, and add any songs/albums you want. It’s not permanent, so as soon as you want to make a new on the go playlist, you can. Or you can save it when you sync your iPod on your computer.
Hope this helps.
References :
Personal experience.