I don't use WMP, but CorePlayer is capable of saving playlist. When you open files with CorePlayer, there is a check next to each individual songs or folder, similar to how iTunes have the checks next to each song. After clicking okay, then you can save them as a playlist. It allow to add more songs or folder to the playlist as well.
As for preventing update from SD card automatically. If you go to "Menu -> Tools -> Settings -> Media Library", it let you disable library scan at start up. Also to disable or only prompt for update from the SD card.
The software cost a bit though.
You can also use "TCPMP", which is the older free version of CorePlayer. Video playback is not very good and the interface is not as nice, but music playback is smooth and it can do similar things I mentioned above. Here's the link for it:
http://picard.exceed.hu/tcpmp/test/