You know, I'm not sure if you can do it, but you MIGHT be able to add a playlist to the phone, then have that feature. I know that the ability to "add to now playing" shows up, at least I think it does. That, or it might be that you can create a now playing of songs you like, then it might allow it to be saved as a playlist.
Regardless, it's not TOO bad if you have to create playlists on the PC once, then add them. I just think it'd be nice to be able to do it from the device (IDK that you ever could from the Zune devices, I'll maybe check my Zune HD later). I often will be listening to something and think that I should make a playlist of it, but then I forget by the time I get to my computer.