What I do is, I check to see if the album I have downloaded [legally] comes with a playlist, a .m3u file I think it is. I just copy and paste that on the phone.
how about this? It seems to just link to the latest desktop software. i'm not sure whether it works, but the description seems to say its able to handle playlist. I'm using itunes to organise my music and playlists, so i have no idea whether this will work with WMP. But no harm trying.