1) Yes, its possible to create playlists.
Support Page will have newest version: http://www.barnesandnoble.com/u/NOOK-Support/379003184
2) There are issues people are running into with playlists being duplicated or disappearing. So search the forums for that if you get that.
3) This is what used to work in Color and Tablet. See if this works in HD and HD+ -
To create a playlist, do this:
1. Press and hold on a track that you want to include in the playlist. A pop-up menu opens.
2. Tap on the menu choice Add to playlist. A new popup menu appears, offering you a choice of playlists.
3. Tap the menu choice New. A dialog box opens for entering a name for the playlist.
4. Tap in the text field for the playlist name. A keyboard appears at the bottom of the screen.
5. Enter the name you want to give the playlist.
6. Tap Save.