FrostWire for Android does support Playlists, but if you still do not have them set up, you can always listen to an entire album worth of tracks one by one.
To listen to all tracks from the same album, go to:
1. Tap on the hamburger icon to access Main Navigation
2. Choose My Music
3. Choose the Albums Tab
4. Locate the desired album and tap on it to access its contents
5. Start playing any file from the album
6. The rest of the tracks from the album should be now added to the play next queue
The FrostWire music player will play all the tracks found; in order they were found and will loop the playback of the entire album.