If you want to listen to 10 mp3 files successively you will end up with 10 VLC players in your taskbar!
Yes, I've been annoyed by that too.
If you start up from the command line with all the files in the argument list, it will do what you want (add them all to a single playlist). Or you can add to the playlist from within vlc.
However, if you want to do this from your file manager, you will need version 0.9 of vlc (which adds options such as '--one-instance' and '--playlist-enqueue').