From within the mobile app, you can add Picmonics to a playlist, and then set the playlist to "Play All", which will allow you to listen to them one after another continuously. This is referred to as "Gym Mode". This feature is not currently available in the web version of Picmonic.
To create a playlist in the mobile app, click "..." next to a topic or individual Picmonic, and then click "Add to Playlist":
From there, click "Add" at the top to create a new playlist, or select an existing playlist to add it to.
To set your playlist to continuous play, open your playlist, click "Play All", then choose the option of either playing the Educational Audio or Story Audio: