Don, I am assuming you are not using a network server to play to the Oppo if you are, can't help u, not network server savvy). When browsing through your music (using the Oppo remote) hit the green button on the Oppo remote to send a title to the playlist: you will see a tick placed against the title. Do this for each title you want to put into the playlist. When finished, press the Left arrow on the remote, then up arrow to go to the playlist choice, press the enter key on the Oppo remote, and you will be on the first item in playlist. Press enter again to start the playlist.
As far as I know, you cannot save a playlist on the Oppo 95, nor will the 95 read external playlists off any attached hard drive, you have to create the playlist each time you turn the Oppo on, unless someone else knows more than me.
Will be more than happy to be corrected on this. Of course, if you are using a network server to send to the 95 (as opposed to using the 95 to read from an attached hard drive or using its own network function) then, as I said above, that's a different story.
Hope this helps