How do you create a playlist? Not from a music service but to create one using my own music on an attached NAS?

In the controller, go to Music Library, then select Songs, then click on the three dots on the song you want to add to a playlist. Add the song to the "queue". Then go to the queue and/or song, and click on the three dots, and select add Song to Sonos Playlist. That will bring up a menu where you can create a new playlist, or select an older one.

You also can save your queue as a playlist, the save option is at the top left when the queue is displayed.

i receive an error message "sono har inte tillräckligt ledigt utrymme"....

Google translate suggests that this is some sort of memory error. How large is the playlist you're attempting to save?

it could be actually rather big... is there any limitation? Where is this physically stored? one the NAS itself??
thx for answers...

Yes, the generally accepted limit is 65K, but that's just an estimate, which varies based on other metadata in the files.
A quick google search turned up this thread as a starter, but there's others:

https://en.community.sonos.com/troubleshooting-228999/playlist-constraints-43937/index1.html