I've got a ton of playlists in iTunes and until Apple lets us have folders in the iTunes sidebar, I'll use this method for creating a new playlist. Right after creating the empty playlist, I'll re-name it " " (just a bunch of spaces). This way, it gets filed at the very top of the the stack of playlists and I will know right where it is when I'm dragging songs to it.
I also usually have a "*" or "%" playlist at the top of the stack for "in progress" lists that I don't finish in one sitting.
[robg adds: Folders in both iTunes and iPhoto would be greatly appreciated as a means of reducing the visual clutter in both programs. I don't do much with iTunes playlists ('select 300 random based on not played within last three weeks' is the only one I actually have!), but I would really welcome them in iPhoto, where I have nearly 100 albums.]
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