I had your exact problem with MTP playlists on my Fuze. I believe it's Sansa thing. I could create multiple playlists but the contents would change to the last one I worked with.
I wrote a step by step
on what I did to finally get MTP playlists working for me without additional software. I was never able to work around the issue with Winamp. Hope it helps.
BTW I was able to use Winamp and a number of other programs to create working playlists using either the card or the main memory. Never both. The secret is to store the playlists in the root of the folder that contains the music files. If you store them anywhere else it creates a backslash (\) in the path and breaks the playlist.