The natural order of things is to find a song and then start a playlist with that song and not the other way around where you first start a playlist and then find the first song to add to it. With the, you can now create a new playlist without needing to take the initial step of bringing a playlist into existence before adding songs to it. You can create a playlist on the fly when you pick the first song to add to it.
Before iOS 9.2, when you selected the Add to a Playlist option for a song or an album, you could add it to an existing playlist but were given no way to create a new playlist. This meant that you would then need to back out and navigate your way to the Playlists view of My Music tab. Even if you replaced the Connect tab with the Playlists tab, it was still more difficult than need be to create a new playlist.
Now, this awkward situation has been fixed. When you select Add to a Playlist, above your playlists is a New Playlist button that lets you quickly and easily create a new playlist and go about your business of populating it with songs. In addition, your most recently changed playlist is listed at the top when you are adding songs, which also smooths the process of filling out a playlist.
Also in the update is a new way to download songs from Apple Music. Gone is the Make Available Offline menu option, which I always thought was oddly worded. This was an option listed for songs, albums and playlists on the For You, New and My Music tabs. Now, you can download items only from the My Music tab. So, you'll need to tap the "+" button to add a song, album or playlist on the For You or New tab to add it to the My Music tab.
Once on the My Music tab, you can tap the iCloud download button to download it (or, worded another way, to make it available offline).
You'll also see a new icon next to downloaded songs on the My Music and Playlists tabs. A small iPhone icon with a checkmark on it indicates the song has been downloaded and is available locally. If an entire album has been downloaded, you'll see the download icon on the main page of My Music without needed to open it.
For more, see a list of all of the changes included in the iOS 9.2 update.