It can be done, but it takes a couple of steps and is not perfect.
1. Rip CDs using a utility such as CDEX (open source) and use CDDB to get track names
2. Create new folders on SD card and give them playlist names
3. Copy tracks to playlists (folders) as desired.
4. All you have really done in this case is created "albums" of music with new folder names.
Works fine.