The gapless playback option works perfectly with formats that are gapless by design: Wave, Monkey's Audio, FLAC, Ogg Vorbis and Musepack. Unfortunately it doesn't work very well with MP3 files because the MP3 format was not originally designed for that. The results are quite good when the "Do not play silence (leading and trailing)" option is enabled besides the gapless playback, but not always perfect. This will also remove any intended silence from other tracks on the track changes.
If you mean you'd like to keep two or more tracks combined in playlists etc, so you could handle them as one item you indeed need to make a single file of them. This is possible also with MC by ripping the CD in the CD image file & cue sheet format and manually editing the cue file. After that MC can import the virtual tracks from the cue sheet file and additionally convert these tracks to separate disk files. Though, this is not very simple and there are also a few bugs in the cue system.