You may need to untick the tick boxes next to the name of the songs in your Playlist.
This will then only play one song at a time and it will stop at the end of the song because you have stopped the flow of music by having no ticks next to the songs.
I would only untick songs in a Playlist and not in the actual Music Library.
Also make sure you have the Crossfade feature turned off.
More info on the links below:
http://www.apple.com/itunes/tutorials/#playlis ts
http://docs.info.apple.com/article.html?path=i TunesMac/7.6/en/15262.html