Multiple On-The-Go Playlists
To create an On-The-Go playlist on your iPod, navigate to a song, artist, album or genre then press and hold the centre button until you see the selector blink. Repeat this until you have chosen all the songs you wish to add to the playlist.
Next go to the playlists menu, and select On-The-Go, which should be at the bottom. You will see that there is a save option, select this and the playlist will be named Playlist 1. You can now create another On-The-Go playlist in the same fashion as before, but when saved, will be named Playlist 2.