On your computer, you can set your podcasts to sync to your Zune automatically or one at a time by dragging them to the device icon.
SET PODCAST SYNC OPTIONS
What and how you want to sync is completely up to you. You can choose to:
You can also choose how many unplayed episodes to keep in the collection on your computer at any time.
To determine the order in which you want your podcast episodes to sync, think about a daily news program versus a TV series. The first is time-sensitive, and it also doesn't matter which episodes you've watched before. You're probably going want to sync from newest to oldest so that the latest episode is always added to your device. The second (the TV series) is episodic—each episode contributes to your understanding of the show. You'll likely want to sync from oldest to newest so that the next episode in the sequence stays on your device until you're done watching it.
If you have a podcast episode that you've saved to your collection (that isn't part of an active subscription), you can sync by dragging it to the device icon.