It is possible to add to the "Now playing list" by browsing your media library and tapping and holding.
This is inconvenient and some people have more luck than others actually getting the list to save (it seems it may under WM5, but it didn't in the version with WM2003.)
I said the heck with it all and wrote my own free playlist editor you can download and install from my website:
http://www.cs.pitt.edu/~jmisurda/ppc/
Give it a try and hopefully it will make it easier to use WMP10.
Jon