Here's how to create a playlist on the unit:
- Find a song
- Press the TAG TRACK button
- Repeat for any song you want to have on that playlist
- When done, press the TAG LIST button
- Press the MENU button
- Select TAGLIST MENU > CREATE PLAYLIST > OK
The playlist will be saved as TAG LIST 001 (and will increment each time you add a new playlist). You can then import that playlist back into rekordbox and rename it.
Existing playlists can't be modified (no ability to add / remove from the playlist directly on the device).
You can't change the default playlist order, but you can sort them by a variety of criteria, based on which ones you have selected for that device within the rekordbox device sort / menu preferences.
So create, yes. Modify existing, no.