Playlists are a hidden feature. They will eventually be removed, but for now, you can set them up here: http://www.funimation.com/profile?#profile_my_stuff_playlist
Click on "Create Playlist". Fill out the Title and Description fields. Then set the privacy setting. Then use the menu to add videos to your playlist. Unlike Queue, you cannot add entire shows worth of videos to your playlists. You have to build it one video at a time by choosing a show, then a type, and then a video. Then click on "Add to Playlist". This will populate the table below with your video. Once you are done adding videos, click "Save".