Kaffeine supports multiple playlists. Choose the active one with the Playlist selector in the left sidebar. You can easily drag some files or folders from the file browser and drop it on the playlist to enqueue or drop it on the player window to create a new playlist. To change a playlist name edit it and confirm with Return.

You can find all playlist related functions in the Playlist item from the menu bar and the context-menu (right-click on playlist).