My best advice would be to use a separate player like WMP or iTunes and make your playlists there.
I don't use the Frostwire player normally but did give it a run today so I could explain to you how to use it and I did find that tunes were getting interrupted momentarily. If you are doing a lot of downloading and uploading this could get worse ...
That being said ... I advise you to create a folder called Playlists or something like that ... it does not matter where you have it.
In Frostwire chose the songs you want in a playlist ... you can select/highlight one or a group of them and click enqueue. You can then add to the list if you wish. When you have all the songs you want click Save As and browse to the folder you made and save the playlist there. Name your saved playlist and if you see the extension .3mu at the end leave that as it is. You can make further lists as you wish .. make sure to give them different names.
To bring up a playlist click open and find the folder and choose the list. double click the song you want to start off listening to and the player does the rest.
You can alter a list but you will need to either save it as a different list or save it as exactly the same name as the original and you should get asked if you want to replace the older file with that name .. and you say yes.
I hope this helps ... any questions: please ask