You can use m3u files as your playlist, if you have the player in msc mode. Just load the files into Winamp that you want to make a playlist out of (right from the SD card). Save the m3u playlist to the SD card under \music. This will force Winamp to create a relative path in the m3u file entries, and it should work.
There is only one bug with the Clip+ and m3u playlists: you cannot access both the SD card and internal memory in the same playlist. Also, the playlist needs to be stored on the media you wish to access.