Yes, it is possible to do what you want. And no, you do not have to create the playlist(s) on a PC.
Simply bring up the context menu on the directory you wish to insert into a playlist, subdirectories will automatically be added, unless you have disabled the option to recursively insert directories (Settings - General Settings - Playlists - Recursively Insert Directories). The Database works in a similar fashion.
I'm not entirely sure what you mean by "And also, is it possible to play from a certain directory, and add subdirectories?", but, if you mean what I think you do...then, the answer is also yes.
It might be wise to have a look at the sections of the manual relevant to playback and playlist handling. The manual explains all this in detail.
[Saint]