To create a playlist login to your account and navigate to Playlists in your account.
Click 'Create a New Playlist'
You can give your playlist a name and add details like tags, notes, date or time.
If you want to always see a Playlist show up no matter how you filter your list you can pin it to the top of your list.
Use the search bar to search for songs, choose a key and click 'Add Song' to add to your Playlist.