I do something very similar to this with the bookmarks set as nls described, plus "keep a list of bookmarks" turned on. For me, I have 4 playlists for music, new music, talk podcasts, and music podcasts. I stop whatever I'm listening to, it creates a bookmark and dumps me to the file browser. I hit menu, which goes to the menu highlighting the bookmarks option. I hit select, then scroll through the 4 playlists to open.
So 3 presses (stop, menu, select), some scrolling (the worst part as you have to look at the screen to make sure you're on the right bookmark), and one more press. Not too bad and much more adaptable than the original idea.