[note: The UI descriptions are for iTunes on Windows, it may look slightly different on a Mac]

When your iPod is plugged into iTunes, select the iPod in the left hand column, then select "Podcasts" from the tabs across the top of the center frame (the one that reads Summary, Info, Music, ..."

You'll then have a Podcast configuration menu displayed, and instead of selecting (for instance) "Sync 10 most recent unplayed", select "Sync 10 most recent" or "5 most recent" or All or what have you. Most recent unplayed means delete ones you've listened to any part of, Most recent by itself means always keep the newest ones, even if you've listened to them already.

Bob