A number of threads on a number of different forums have discussed trying to get playlists to work on the J3 (and some other Cowon players). I've used MediaMonkey as my media player for a couple years, but finally tried Winamp, which some other people suggested, and am finally able to successfully build and export playlists to the J3.
The caveat is that you must keep the J3 in MTP mode. If you switch back to MSC mode and connect the J3 to your computer, the playlists will be wiped out, for some idiotic reason (this happens whether you are using Winamp or not). In MTP mode, you can still view the folders and files on the J3 from your computer or in Winamp. Winamp recognizes the J3 as a player in MTP mode; in MSC mode it only knows it as "Drive X: USB."
Some other Winamp/J3 observations:
1) If you update a playlist on your computer and re-sync it to the J3 in Winamp, you will have 2 playlists of the same name on the J3, so delete the old one first off the J3, then resend the playlist to the J3.
2) If you accidentally (or need to) connect the J3 in MSC mode, when you change the J3 back to MTP mode, just resend the playlist(s) back to the J3.
3) And, playlists on the J3 are lists, not duplicates of the actual song file (-- some players seem to duplicate song files for every occurance of a particular song in different playlists).
