[Zubersoft]

You can load an individual song from a setlist and still step through each song in order (make sure you go to the setlists tab to load the song, as what I'm about to suggest wont' work with the songs tab). To do this, go to Settings->Library Settings and check "Automatically Load Next Song". This will allow you to still load one song at a time, but when you advance past the end, it will look at the next song in the last viewed list on the library screen and go to the next song. I believe this should get you what you want.

Miike