In the past, if I wanted to add a particular album to a new playlist I always went to my library, then selected the album, hit Command-A to select all the songs, and then dragged the songs to my playlist.
It turns out that there is an easier way, though. Make sure the browser is visible (Edit -> Show Browser), then simply drag the name of the album from the browser pane to the playlist, and all songs from that album will be copied. This also works for selecting all songs in a particular genre, and an individual artist or multiple artists, etc. You can even drag the "All" item to add all songs to a playlist.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041018081332802