Are you set to auto synch or manual synch? If auto, is the little square on the left side of the audiobook listing in your iTunes Audiobooks Library checked? If not, check it and synch again.
If set to manual synch, drag the audiobook from iTunes Audiobooks folder to iPod Audiobooks Folder.
Try audible.com for better prices on audio books. On most books, audible.com is the ITMS source, but if you buy direct from audible, the audiobooks stay in your account permanently. Harry Potter is avail at ITMS but not audible.com.
See links in signature below for FAQs and tutorials on converting varioius formats to iPod files.