@Rodolfo - I think they just mean "on WP7 in the Zune App". Not another audio app.
@Rdubmu - Add songs to "now playing". Once you have all of the songs you want in a playlist, go to the "now playing" area. Then tap under the album art where you see the list of songs. That will take you into the song list. At the bottom of the screen you will see a floppy drive icon.
Tap on that Icon and it will prompt you for the name of the new playlist, then just save it.