If you're using Nero as your main player then see:
Burning an audio CD from your MP3's which will explain how to get the files to Nero. As for any other type of portable mp3 player, read the manual. hahaha I don't know why you're posting here by the way. Why don't you get iTunes to do your playback. A playlist you must not forget is simply a reference to the songs, so if you move the original location of the songs then that playlist will become unusable.
QCD (click on link) is another decent player with in-built codecs & plays ALL music types & is free!