The iPod had a very effective on the go playlist feature that allowed creation of playlists without iTunes. It seems the iPhone is lacking this function or is there a way to create additional playlists within the phone?
It's different to other iPods -- in that you don't "press and hold" -- but it's there. Go to the Playlist screen and select "On The Go," from there you can add songs, albums etc. by clicking the '+' symbol that now appear to the right of the tracks.