To create a new set list, go to the My Account menu and select Create Set List. Alternatively, you can go to My Account > Set Lists and click Create on the right-hand side.
Mobile Users: Tap the Menu icon to log in and go to My Music > Set Lists. Then tap the orange Create button.
Then, enter the Name/Title of the set list you wish to create and click Create.
You are now ready to add songs to your Set List!