I didn't see any posts about this in these forums, so I thought I'd post it here.
I just bought an 8GB nano and was showing my wife how to use the on-the-go playlist capablity. I found that I could add individual songs but not entire albums.
After some googling, I found that this is a known problem specific to the 8GB nano when you have more than 1,000 songs on it. And of course you are going to have over 1,000 songs on it - that's why you spent the extra bucks for 8GB :-).
The newest firmware (1.1) doesn't fix it either. On the Nano Feedback site where you can report bugs, it lists 1.1.1 as a valid firmware version. Maybe this means there is another fw rev in the pipe?
It's really annoying since I use this feature on my Video iPod all of the time - it's one of the reasons I bought iPod.
Here's a thread in the Apple discussion forms that goes into some more detail:
http://discussions.apple.com/thread.jspa?t...28&tstart=0
Let's hope Apple resolves this one quickly.