You will need to plug you nano into your computer and open iTunes. Once iTunes has recognized your iPod, click on the iPods name. There should be a page with a picture of your iPod, at the top of that page there will be a tab labeled "Podcasts," click on it. On that page there will be a check box with a drop-down menu, this is where we will change your podcast settings. The drop-down menu controls which podcasts are synced to you iPod:
All - This will sync all of your podcasts whether played or unplayed
1,3,5,10 most recent - this syncs only the (x) most recently added podcasts to your iPod
All unplayed - if you have not played the podcast yet iTunes will sync them to your iPod
1,3,5,10 most recent unplayed - syncs the (x) most recently added unplayed podcasts to your iPod
1,3,5,10 least recent unplayed - syncs the (x) oldest unplayed podcasts to your iPod
all new - syncs all of the newest podcasts
1,3,5,10 most recent new - syncs the (x) most recent new podcasts
1,3,5,10 least recent new - syncs the (x) least recent new podcast
those last two are a bit confusing, basically if you add a lot of podcasts you can either get the (x) newest of that set or the (x) least newest (hope that makes sense).
The second drop-down menu controls whether those setting apply to every podcast, or only the ones that you select in the menu underneath that.