You can create playlists in the Frostwire Library, provided you have the Frostwire player enabled. Simply create a list of songs you want by enqueuing them and save the list .. It is a good idea to create a folder just for playlists and then you can ask Frostwire to search the lists for the one you want more easily. Note the playlists must be opened from the Frostwire library, not from the playlist folder.
Personally I go with Twilight's advise and use iTunes but if you would rather use the Frostwire player that is how to do it. Let us know if you need more help