While the song is playing, you should be able to tap the three dots > Add to Sonos Playlist > and select the playlist you want to add it to.

Not directly. But you could use Shazam to create a Spotify or Apple playlist that will be imported to Sonos.

Tapping the three dots doesn’t work when playing from a station. 

What station are you playing? I don’t believe you can add songs from a station. You can only add individual albums or songs to a playlist.

I am playing an Apple Music station. When the song is playing I can the use the three dots to see - Album info - Album songs. And then I can add the song to a playlist using the three dots next to the song. But once I select the three dots I am playing the song from the album and no longer from the station. Now I have to go back and reselect the station. Would be nice if you were listening to a station to be able to add a song directly to a Sonos playlist or even to Sonos favorites without all these steps.