Welcome aboard, drtyblu!
I had the same problem when I tried to do the Custom Soundtrack thing (mostly for the easy trophy). Are you doing it from inside GT Life's menu? Head to the main menu of the game, and go to Options. From there, hit Hardware -> Audio. Click "Enable Personal BGM" first, then click "Select Personal BGM" and when the menu pops up, click "Play Mode" to tell the game to shuffle the whole folder. Don't click on one of your actual tracks.
You'll always hear the first song in your folder, it seems (it does that for me), but after that, it will shuffle properly 👍