the only way to make playlists that are permanent on the device is from the PC. you can 'add' stuff to now playing and make an on-device (only) temp playlist that survives only until you boot the zune.
But, for a big collection relative to the storage on the device, there is a good method that I have found. Don't sync music. Sync playlists, only. Create those on the PC, and when you sync they will cause the required music to sync automagically to the zune. This is really nice when you discover and start using auto-playlists, and those refresh. You can get clever about the playlists (top 100 plays for instance) and those will always be as up to date as your last sync.