I can't figure it out. I can do it with my iphone 3gs and 4s fine with the add playlist in the file menu, but they're grayed out when I use my ipod classic. Any ideas? Also, I can't drag songs from my ipod library to my On the Go playlist with iTunes either, yet I can do it with the ipod itself.
Do you have your iPod Classic set up for manual management? In other words is the Manually manage music and videos option enabled from your iPod's Summary tab in iTunes?