I don’t use MTP mode or WMP, for those that do, that combination should produce playlists that work. In MSC mode you need to create playlists somehow, correctly name them and put them in the music folder.
One very easy way is to create playlists in winamp using the clip as the source. You then save these to the clip music folder. The playlist content will use the pathname starting from the music folder.
The playlist names will show up in the playlist folder under the music menu when you run the clip. There is no playlist folder created as such that will show in windows explorer. You can use a variation of this but the end result has to be the same. You can certainly have multiple playlists with unique content stored in the music folder.