I am assuming that the USB stick has no software on it and whatever is playing the music simply reads the audio from the stick/SD card. Is it a Pioneer CDJ by any chance?
Seems the best way to play the tracks from the USB/SD in the same order as the iTunes playlist is to add track numbers to the music files. That way even the most basic audio player will 'most likely' read from 01, 02, 03,... etc.
So how to rename the tracks easily.
By hand, might prove too time consuming as you say there are a lot.
Use an Applescript from Doug
or the older
would probably suit your situation.
Note, renaming tracks may mess the iTunes library in a way you don't want, so maybe, to begin with, you should work with duplicates.
I forgot to add one last thing. Assuming you're using a recent iTunes you don't need to duplicate the tracks first.
The workflow would be
Select your Playlist you want on the USB stick. (make sure the playlist is in the play order you want)
Selcect the Script to add 01, 02, 03, etc to your track names in Itunes. (it won't rename your track files, just the track name you see in iTunes)
Now you have the tracks numbered you can select them all and use the iTunes convert to (whatever your import settings are set to - choose itunes plus or 320 mp3) function and a bunch of new tracks will be made with numbers at the front of the names.
The downside to this method is that you are converting from lossy to lossy, so you wouldn't want to do it a twice as the audio quality will suffer very quickly.