On the Nokia 5300 music player you cant create playlist without the bundled software, but here i found a trick to do it.
First thing to do is make sure if the "Favorites" track list is empty, to do this follow this steps:
Open the Music player then go Options > Music Library > Track List > Favorites
check if is empty, if not go options > clear track list.
After this go to next step.
Step 1: Add Songs to the Playlist
Now you need to add songs to the "favorites" tracklist, so, go back to Music Library and go "All Tracks"
then move to the song you want to add and select Options > Add to Favorites, do this with all tracks you want.
Step 2: Final Steps
Go again to tracklist > Favorites and play it.
when it is loaded, go Options > Show tracks - Options > Save as track list, put a name for new playlist an save it.
Step 3: Final
Thats all, you finished and you can create so much tracklist you want.
I apologize of my redaction if is worng, im speak spanish
Thanks for reading