Have you ever sat down to a nice game and put on your playlist only to realise that particular song changes tempo midway through? Or that those two melancholy songs are melancholy in a very different way that clashes against each other but might not have been noticeable if there was a song in between them to break it up? I certainly have.
So how can you deal with this and ensure it doesn't happen again?
I'm sorry but you're really just going to have to listen to those hour of sombre music all in one sitting.
This can be a problem if you have an epic four hour soundtrack although in that case you should be all right to section it up as the first few songs don't need to blend into a song that comes up two hours later. Just make sure that you re-listen to the last two songs before you go over the next section of the sountrack.
The other issue is if you do scene-specific music as you will then need to do this on a weekly basis. What I would suggest here is that you re-use music or keep some playlists aside as location music. Why not put on the same music each time they go home or to the police station or library? You can also keep some of the soundtracks as Mood Theme music for when you don't have much time but you know you want it to be haunting or exotic.
Bear in mind that if you're being scene-specific you could just loop the same song over and over again if it's a relatively innocuous song or if the scene is likely to be relatively short. This will certainly cut down on the amount of listening you have to do as you'll only need to hear the whole song once.
Generally, though, when listening to the music you need to be paying attention to it but that doesn't mean you can't do other things while doing so. Obviously watching a movie or playing a videogame is to be avoided as the sounds will clash and you'll get distracted. However, you could do the dishes or other cleaning in that room or do game preparation that doesn't take a lot of brain power such as selecting miniatures or cutting our props. You could always listen to them while making yourself dinner as well.
If you're really rushed, it's generally not a big deal so long as you know the CDs well enough to know there's not a crashing crescendo midway through that tranquil piece (unless that's what you're after). Each song doesn't have to blend seamlessly into the next. Most players won't be paying that much attention to it anyway which is why you can generally get away with looping songs in roleplaying games and people won't complain so long as it doesn't have lyrics.