We used to be able to format a number as a text and pack with leading zeros, so that when it was made into a category for selection it sorted in the right order. But this function seems to have disappeared, or am i missing something?
You can add a formula field that use the TEXTVALUE function. e.g. adding a formula field with TEXTVALUE([Field 1], "00000") function will convert the Field 1 to a new field with max 5 leading zeros. The pattern specifies leading and trailing zeros, because the 0 character is used instead of the pound sign (#).