Episodes can be added to a Playlist from any Podcast page. Start by navigating to a Podcast you would like to add episodes of to a Playlist.
On the bottom right of each episode in the list are three dots. Click on the three dots to expand more options, then click Add to Playlist.
From here, you can click "Create Playlist". You will be prompted to give your new playlist a name.
After clicking OK, your new playlist will appear in the list with 0 items.
You can then click on your new playlist to add the episode you are selecting to it. If you want to add this episode to other playlists at the same time, you can also do that here before closing the pop-up window.
To find your Playlists later, click on the Playlists tab on the left side of the page.

Playlists