Sure you can create a dvd with mp3s on it, but whether or not it will play as mp3s is dependant on you player. If you let us know what your dvd player is, we could help you more.
By going to dvdrhelp.com and using the section on dvd players there 211 possible dvd players that support this.
And what do you mean by the headings?
If you mean id3 tags you can simply edit them to your liking.
I don't see why you couldn't put them into individual folders too.
Hope that helps you out.