Well I've only seen one so far, but they have the same premise, Louis Theroux goes and stays with a celebrity to find out what makes them tick.

Well, it is the same problem for Columbo, Tatort and other similar series made like lots of "TV movies" though they could be considered as a series with episodes numbers.
If several cars come back in each "episode" it may be more efficient to list it as a series.
On the other hand, if the episodes are really different then you could list it like IMDB does (except if you prefer to list it like a series anyway).
About the IMDB link, if you list it as a series you could use the first "episode" as IMDB reference.

I have just made some captures from some DVDs I just rented, "The Best of Louis Theroux" which includes the documentary "When Louis Met the Hamiltons". Now Theroux has made various programs where he observes British celebrities who have an unusual/eccentric side to them, like the boxer Chris Eubank and veteran DJ and presenter Jimmy Savile, so all these documentaries are in the same vein, so they could be grouped together as "When Louis Met..." (some TV guides referred to them in this way), however IMDB gives each one a seperate entry. I'm thinking that if I grouped them together (I've only done the Hamiltons one but I plan to see more) it could save making a new entry for each one. The thing is IMDB is not very good at listing British TV programs, the site has a lot of gaps in that area. Shall I follow IMDB and create a seperate entry for each one or just create one page with the title "When Louis Met..." and list them all together (when I do the next ones of course), the only thing is by doing it this way I won't be able to provide an IMDB link, since IMDB doesn't have an entry called "When Louis Met...", just seperate entries for each one.