Here’s a WInamp step-by-step.
The files need to be on the player already.
http://forums.sandisk.com/t5/Sansa-Fuze/Adding-Playlists/m-p/55917#M40804
If you create the playlist in Winamp with files on your computer, then the paths it makes to find the files will be the paths on your computer–not your Sansa.
