Click and hold Select on the folder, choose "Playlist" then choose "Insert" and it will play every song in that folder. If you have recursive insertion enabled, it will play every song within every folder within every folder etc, within that originally selected folder.
If that's what you mean by "creating playlists" then I suppose yes, the fact that it is a couple button presses is frustrating. If you were doing something else, then may I suggest perusing the manual? It contains tasty tidbits such as this.