Fear not fellow androiders, here is how to create mega playlists easily (although it does involve typing a command OMG :) )
1- Plug in the phone over USB. My phone appears as drive G:
2- Open a terminal window, and "cd" into the Folder containing the music you would like to make a "playlist". In my case
g:
cd MP3/80sMusic
3- Here comes the magic
dir /B > 80s-best-Music.m3u
exit
4- Et voila, the terminal window exits, safely remove your USB disk, turn off the USB connection from the phone and that is it!
Addendum for Linux users
1- Mount your phone on some directory, and "cd" to it. In my case
sudo mount /dev/sdb1 /media/androidy
cd /media/androidy
2- Create the playlist file
cd MP3/80sMusic
ls > 80s-best-Music.m3u
3- Eject and Et voila. It's really almost identical to the Windows case
cd / ; sudo umount /media/androidy
I was pleasently surprised to find that in Android ALL music apps share the same playlists. So that newly created playlist is seen by the built-in Music application, as well as with the 3rd party Music player MixZing. It is also pleasantly surprising that Android seems to scan the whole folder structure for the .M3U files wherever they may be and use them as playlists! Sweet