It sounds like you want to do something similar to a Handheld Sync. Handheld Sync is designed to work with portable players and transfer your playlists to them: Both the music files, and the playlists. Then, on the portable device (handheld) you can select the playlist and play in order from there. If playlist files (like M3U) would work for you, then you're all set. You can make a handheld definition and tell it to both convert and copy over the playlist file(s).
I think you're seeing it copy your files alphabetically because that's how your files are named on disc. MC just uses the existing file name when it does a conversion; it doesn't rename them. As far as I know, the conversion tool doesn't have a rename option.
However, MC does have the Rename, Move, and Copy files tool. You can probably use that to copy your files with new names that are prefixed with the sequence number of the list. It's a little bit tricky, but it can be done.
What exactly are you trying to do?
Brian.