1) Select the clips by clicking the "+" sign at the lower left corner, or click "Save to Favorites" for a clip that is the main one of a page, save to an existing list or to "New Playlist" and make one then.
2) At this point you either have clips in the "QuickList" (upper right corner), or in a existing Playlist. If it's the former, go to the QuickList you can click "Save as Playlist" to creating a one.
3) Now you have your favorite clips in a Playlist. To publish it, go to the Playlist and there is a "Embed" sign at the upper right corner, cut/paste the content of the textbox next to "Embed" into WXC blog or 发表新主题, there you have it.
Thanks go to 一程歌 who pointed out the new feature in 3); it's a really useful feature that Youtube added to Playlist.