How to Organize TV Shows into Seasons
Yes, you need to make sure they all come up in your iTunes library under TV Shows first. After importing them, if they're not there, then you need to do the following: (If they are, right click the file(s) and skip ahead to Step 2)
Select multiple files consisting of a season of episodes at a time. And repeat process for further seasons.
Step 1: Right click one or more the video files ( to select multiple files press and hold down Cmd (Mac) (Ctrl-Windows? Can't remember

) And Select the files ) then select the "Get Info" option.
Step 2: Go the the "Options" Tab and click the drop down box for Media Kind and select TV Show.
Step 3: Select the "Video" Tab and fill in : the show name (ie.Lost) And the season Number (eg.1). This will link all the episodes together as being one season.
Step 4: While your there, select the "Info" tab and Complete the details there
if you must, its not that important
at the moment if you don't mind each episode being called Episode 1, Ppisode 2...etc,
however you must fill in the the
right hand column of
Track Number with the
total number of episodes, this will help you when you come to organize then in sequential order.

Click OK. Now check the TV Shows section of your library.
Step 5: In order to organize the episodes in sequential order you will have to enter the details/names and episode number for each episode individually, in the "Info" tab.

This is where the most user input is required, thus where most mistakes can be made. You must know which episode is 1 and which is two and so on... (unless the file name gives this away, which always helps

)
*Also you can change episode names and fill in other details about series caption etc but hopefully you can discover these with a look through the tabs in "Get Info"
Step 6: Now sync to your iPod/iPhone.

Simples.
Hope this helps.
EDIT: Just post any problems or anything I've missed, or needs changing.