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Thanks for the reply. I an surprised there is not a more straight forward way to do this. Sonos please add an "Add Playlist" to the My Sonos screen.You can long press a title and choose 'Add to playlist", but the playlist must already exist.
If after the long press you then touch the three dots in the top right of the screen (to the right of 'Add Song to Playlist'), you get a 'New Playlist' prompt.