In the bottom left corner of itunes there is a + button, click it to make a playlist, then drag the songs you want into the playlist and you can put them in any order you want to. If they aren't already going in the order you want then you may have to click the arrow in the top left of the playlist window right next to the first title (such as artist) and then you can rearrange them.
If you want to do this on your ipod or iphone just make an on-the-go playlist in your lists of playlists on your ipod.