It's not difficult to make a playlist on the player, at least I never had any trouble with going it. I suggest you refer to the manual for exact instructions. On my iPod it is a case of holding
Select for a few seconds on a file in the file browser (of course, this is the same for the database too) and pressing
Playlist and getting a set of various options. The ones you will need are Insert/Insert Next/Insert Last I would imagine.
Reading the manual would have told you this (I don't think I can express this well enough).

As for making an external playlist, I use Foobar2000 and drag and drop music from my players hard drive. Once done, I save as an .m3u8 to the ROOT of the drive and it will correctly save the paths. Once saved, you can move it to another folder as necessary.