Njones,
This is pretty simple to achieve.
Just go to Settings/Playback Settings/Auto-Change Directory (the options are Off, Yes, and Random) and make sure it is set to either Yes, or Random.
Now simply enter Database/Album and select the album you wish to start from.
If you have selected Yes for Auto-Change Directory when the current album hits the end of its tracklist, it will skip to the next directory in the list.
If you select Random, when the current album hits the end of its tracklist it will pick a directory at random (obviously

) but you will first need to use the random_folder_advance_config plugin (located in Plugins/Applications/random_folder_advance_config.rock) to generate a list of all the directories in you Database.
However you must have Repeat set to No for Auto-Change Directory to function properly.
[St.]
EDIT: I just realised I *totally* messed this up, I hit the end of a directory in the database on my walk home just now and realised that it in fact only works this way in the File Browser...
Sorry to mislead you.
It seems as though there isn't a "pain free" way to do this other than creating a playlist of all your albums beforehand.