As soon as you click the "+" button, the song track will deposit on your playlist. Continue adding more tracks until you have created your desired playlist. The playlist is automatically saved, with each song addition. To delete a song, double click on the "x" to the right of the track.

click to enlarge
After the playlist is final, click on the "embed" button at the bottom of the playlist. You will be taken to a page that gives you multiple options on where to embed your playlist. For WordPress, choose the last option (E). Select the playlist you just created. Now, personalize your playlist. It's preferable to not AutoStart, and give visitors the option on whether or not to listen to the playlist. In the instance that a visitor is in a professional setting, or is playing their own music, it would be disruptive to open a site that automatically starts playing music.
Click on the "get code" button, and select and copy the code displayed on the following page.