I found a quick (relatively) way to generate Zune playlists when you have a set of songs in a folder that you want to make a custom playlist:
1) Navigate to the desired folder in Windows Explorer
2) Right-click on the folder and select "Play with Zune"
3) Once the songs have started playing, go to the "now Playing" screen in the Zune software (if you aren't already there) and make sure the song list showing
4) Click the "Save as Playlist" button at the bottom of the song list and title the new playlist
Playing songs in this fashion puts only the songs in that folder or folders into the now playing list, allowing you to quickly save it to a custom playlist.
Here are the steps if you prefer the to use ctrl-slick to select multiple songs in a folder and then turn that into a playlist:
1) Make sure Zune is your default media player
2) Navigate to the desired folder in Windows Explorer and make your selection(s)
3) Right-click the selection and choose "Play"
4) Once the songs have started playing, go to the "now Playing" screen in the Zune software (if you aren't already there) and make sure the song list showing
5) Click the "Save as Playlist" button at the bottom of the song list and title the new playlist