I find this frustrating as well.
I found the following thread which is in the Bold forum, but it might help.
Sorry, forgot the links and other information. Playlists creation on Bold
However, if you are a windows media player fan, here is something i was just experimenting with. The link below is also in Jsanders signature. Stinsonddog's Blackberry Tips and Tricks
Look for the 8300 curve tips. Its a PDF file and about 3/4 way thru it there is a section called "Playlists on 83XX from the Rim Knowledge base"
^^^^^^^^^^^ works like a charm ^^^^^^^^^^^^