Just like in iTunes, when you make a new playlist and add a song to that playlist while playing that same song it will continue to play that current song. However, it will not start playing that song from the new playlist you just added it too. It will continue to play whatever was after the song wherever you first started playing it.
You can listen to music from another playlist while making one and you can listen to a song you want to put in it without pausing or stopping the song.