You can go to a podcast page and choose the episode you’d like to add to a playlist, then tap the three dots icon in the episode list. Next, tap the playlist icon (last icon on the right), and you’ll be directed to the “add to playlist” page where you can create a new playlist or click on an existing one to add it there.

You can also create new playlists by tapping on the 2nd icon on the home page. You will see the My Playlists menu. Click there and click the + to create a playlist (enter a playlist name and hits save). Then, you can add episodes to that list by visiting the episodes and following the steps above.