From memory, when you copy a playlist to an external device the tracks are copied to the same folder, but with their original filenames.
I think the only way currently to copy tracks from a playlist in order is to select the tracks themselves, and use Send To > Copy (Organised Folder) (or whatever it's called) and use a naming template to rename them correctly.
It has been asked before so you might be able to search the forum for a better example/explanation.
Bee excellent to each other...