To add a song to a saved playlist, locate the desired song from your Library, Music Service or even the current Play Queue and select Add to Playlist... from the Context Menu. To access the Context Menu, press the More indicator to the right of the song. You can also Right Click/CTRL click in Windows or macOS. You can then select a Playlist to add the song to or you can Create a New Playlist. Songs are added to the bottom of the Playlist.