As long as your music is stored on OneDrive, and you create your playlists on OneDrive, they should sync across all your devices. I created the "Music" folder on my OneDrive and put all my MP3 files there. I then went into
http://music.microsoft.com and signed in. It had all my music loaded up there in the Web player. I then set up playlists and added my music into them. Then my PC, L950, and Surface tablet Groove all had the music and playlists.
Edit: If you don't want to stream your music from OneDrive (on your 950LX for example), then you can click on the playlist and choose "Offline". It'll download all the songs in that playlist so you can listen without using network data.