On a ZuneHD you can make a playlist "on the go" by simply typing a letter after you touch the keyboard icon that shows on the Now Playing screen. In other words, artists,albums of individual songs are added to the Now Playing queue which can be turned into a playlist by naming it.
However, on the ZuneHD you cannot delete or move songs around on a playlist or on the Now Playing screen, You can add songs to the end of a playlist by first putting that playlist in Now Playing and adding additional songs to Now Playing which show up at the end of the list.,then touch the keyboard icon to type in the name. It seems odd, but you can have 2 playlists with the same name if you want to use the same playlist name for the larger playlist.. The main "list of playlists"- it's really not confusing when you are looking at it directly instead of reading about it-will show you how many items are in each playlist. You CAN delete entire playlists by doing a long press on the playlist name and selecting delete.
I do wish they would improve the ability to edit playlists on the fly.