D20 supports some major types of playlists by default, and has Playlist section in Music Library menu. But it's impossible to create playlists within the interface. You can create the *.m3u files on your computer and then copy them to your player. Here i'm gonna explain you how to create the playlist for Cowon D20 manually and where to store it.

Connect the device to your computer and open in file explorer. You can use any USB connection type, both MSC and MTP work fine. To create the basic playlist you'll need any media player which makes extended m3u files or a free app called TagScanner (with track length record). If you don't want to use any other app, you can write the playlist manually in your Notepad, scroll down to the bottom of this page for code description.

Once you have launched your app either drag and drop files from your device to media player or browse the files on your D20 (for TagScanner). Select the files you want to add to playlist and choose option 'Create Playlist' or similar. Save it as *.m3u file anywhere on your hard-drive.

Open the m3u file with Notepad or Notepad++. Shorten all filepaths to the first folder in your Music directory. See sample below.
From this:
#EXTINF:181,VAST - You're Too Young
M:\Music\Rock\VAST - You're Too Young.mp3

To this:
#EXTINF:181,VAST - You're Too Young
Rock\VAST - You're Too Young.mp3

After all playlist items have been fixed, change the encoding from ANSI to UTF-8 and save the file.

Here's a sample of full playlist code:
#EXTINF:181,VAST - You're Too Young
Rock\VAST - You're Too Young.mp3

#EXTINF:217,VAST - What Else Do I Need
Rock\VAST - What Else Do I Need.mp3

#EXTINF:240,VAST - Thrown Away
Rock\VAST - Thrown Away.mp3

#EXTINF:199,VAST - Turquoise
Rock\VAST - Turquoise.mp3

#EXTINF:229,VAST - I Thought By Now
Rock\VAST - I Thought By Now.mp3

#EXTINF:205,VAST - Hotel Song
Rock\VAST - Hotel Song.mp3

When your playlist is ready, then copy it into 'Music' folder of your D20. Use 'Open' button to navigate your Playlists category or open it from Browser in your Music folder.

You can copy and paste files from playlist to playlist.

Alternatively, you can write the playlist files manually without using any media app. Just remember that extended m3u list always starts from:
And every track includes two lines with data.
#EXTINF:181,VAST - You're Too Young
Rock\VAST - You're Too Young.mp3

Where: #EXTINF:181 is track length in seconds; VAST - You're Too Young is tag information 'artist - track title'; Rock\VAST - You're Too Young.mp3 - is where your file is stored inside the Music folder of D20.

Download a Playlist Sample.