From the video watch page:
Click on the "Save to Favorites" link under the video you're watching.
From the dropdown menu, choose "[New Playlist]", and click "OK." You'll be taken to a page where you can set the properties for your Playlist.
Click the "Save Playlist Info" button. You'll be returned to the video watch page and the video will automatically be added to your new Playlist.
From your QuickList:
Go to the "QuickList" page (http://www.youtube.com/watch_queue).
Remove any videos that you don't want to have in your Playlist
Click the "Save as Playlist" link at the bottom of the video list.
From your Account:
Go to your Playlists directly by clicking the "Playlists" link near the top right of most pages, or go to the "My Account" page (http://www.youtube.com/my_account) and click on the "Playlists" link in the "Videos" section.
Click the "Create Playlist" button and set the properties for your Playlist.
Click the "Save Playlist Info" button. You'll be returned to the "My Playlists" page and can begin adding videos.