To transfer playlists to SanDisk Clip Sport you need Export for iTunes version 1.8 or later.
Version 1.8 has a new option to add Windows line endings (CRLF) to playlists file (m3u). If you use the default line ending of Mac OS X (LF), Clip Sport cannot read correctly the playlist file.
New Line endings option on advanced export options
You also need to export m3u file in the same folder with music files (mp3s). So you need to enable "Save m3u file in the same folder with tracks" option.