Windows Phone 7 does not support Audible as yet, and if you have an audio book as a collection of MP3s it can be pretty hard going listening to it on your phone, with the chapters showing up during random playlists and the Zune client not remembering where you paused the chapter, or even which chapter it was.
The solution is to import Audio books as podcasts, and 1800pocketpc have uploaded this handy guide to do this, using the ElWPAudioBooks desktop app. This small hack does not need Mango or an unlocked device.
See 1800pocketpc for detailed step by step instructions here.
While this is a handy workaround, I am sure Audible is a target of Microsoftâ€™s Depth team. Hopefully it will not be too long before we hear of a client for Windows Phone 7 also.