The Limewire player is known for being a little troublesome...
Try a third party player like itunes and then you can create your own playlist and at least it will be saved....Limewire does not let you create a playlist and save it...
To make itunes or any third party player your default player...
Go to your shared folder (outside of Limewire) you will find this folder by clicking on one of your files in your LW library and clicking explore...
Right click on one of your MP3 files
Select open with
Select choose program
select itunes or whatever you decide
and tick the box that says always use this program to open this file type...
Then go into Limewire's > Tools > Options > Player and untick the box and select apply..