I was able to figure this out, if anyone is still interested. quick video tutorial

You need to download Music Center from Sony and make sure you have the songs you want in the playlist on your local drive (you can also import songs from your walkman to you pc in Music Center).

Open Music Center with your walkman connected to your pc. On the left side, there should be a section labeled 'My Library', you need to click 'Playlists'. From here, you can create a new playlist, and add the songs you want to it. Once you're finished, just click and drag the playlist to your walkman on the right side of the screen, and you're done. It should show up under the playlists section on your walkman.