What do you mean you can't see the playlist? If you browse to the folder you saved it to, do you see it? If not, maybe you have rockbox set to only show audio files or something like that?
Perhaps if I describe what I have been doing, you can tell me where I'm going wrong.
1) Having downloaded the podcasts, I open WMP (v12) and select the "Play" tab on RHS of window.
2) Still in WMP, I open the directory containing the podcasts, drag them to the RHS to create a playlist, and re-order them as appropriate.
3) Following the advice from Bluebrother in post #2, I go to File >>"Save now playing as ..." and save the playlist in .m3u format.
4) In WMP I select the Sync tab, select Sansa Clip, and drag the new playlist to the RHS and start sync.
5) When it's finished the sync, I "eject" the Clip+.
I can see the files I've just sync-ed on the Clip+ in the "Files/Music" directory; each one is in its own folder. So a Podcast of a Radio 5 programme is in a folder called "BBC Radio 5 Live". But I can't see the actual Playlist anywhere (I've checked by searching the Clip+ while attached to my PC.)
So if anyone can help I'd be really grateful, as I'd like to use Rockbox but would also like to be able to import/sync playlists as easily as I was able to using the native Clip+ firmware.