You start by opening your iTunes and looking at what you have in your library. Go to File and select New Playlist, or just hit Command and N. A new playlist window will come up and you will be asked to name your playlist, which will be highlighted and listed with the other iTunes playlists in the left hand panel under the Playlists heading. Go back into Music in iTunes and begin finding the songs you want to add to the playlist you just created. Control click, or right click if your Apple mouse permits, the song you want to add and go down to Add to Playlist. Here you can just select the playlist you created. Do this with different songs until you get the playlist you want to add to your iPhone.