The solution is this:
Setup each Podcast to download all new episodes and to keep all Unplayed episodes
Setup the iPod to Sync All Podcasts
Create SmartPlaylists with 2 criteria - Album contains part of the title and play count=0
Setup the iPod to Sync Music, making sure your SmartPlaylists are selected or Sync All
That's it. The library will keep only unplayed episodes and when you sync, the listened to ones are deleted from both the library and the iPod.