There's a script somewhere in the internet that converts the imported files into the audiobook format. Somehow iTunes doesn't do this itself...
With this script you must import first, then use the script, then delete the files from your library (without poutting them into the trash) and finally re-import them. After that, they're in the Audiobooks section.
I'm not at my Mac at the moment, so I don't remember the name of this script, but perhaps someone else here does or knows a better way.