I was asked to give a few more details about Sony NWZ and winamp playlists.
I can create a playlist and send it to my Sony mp3 player even without importing a single song into the Winamp Media Library.
First I used this plugin ->http://www.winamp.com/plugins/details/145830
Dynamic Media library. Why is it important? Because when you open Winamp Media Library, on the left column you can see your Hard disk Devices (vertically placed).
This way you can have instant access to your hard disk content from the Windows media library.
1st step -> Install the Dynamic Library plugin
2nd step -> Re-open Winamp and winamp Media library
On the left column you can see "Playlists", "Portables" and
"Devices" among others.
3rd step -> In the Winamp Media Library right mouseclick on
Playlists. Then you can create New playlist or import older ones from m3u files or other winamp playlist files.
4th step -> Go to Devices on the left column of Winamp Media library, find your music folders and drag n drop songs into the playlist you created.
5th step -> After you filled your playlist with the songs you want and arrange the order of the songs in the playlist then you Choose the playlist you created on the Playlist column in the Winamp Media Libray ->right mouse click-> Select "Send to Portable Sony mp3 Player" and then automatically both the songs and the playlist will be imported into your mp3 player.
If you choose a playlist and right click on it but there is no "Send to" option, then you may need this plugin->http://www.winamp.com/plugins/details/139313
So the whole secret is to either import your playlists into the Winamp media library and send them from the Winamp Library to the Sony mp3 player either create the playlist within the Winamp Library and again send them from there into the mp3 player.