How to transfer only files from a playlist

[Caffinehog]

Being the organized geek I am, my music files are scattered all over my hard drive, and even amongst the organized ones, the ones I most listen to are not in one place.

I recently obtained a mobile device, (PDA type,) and want to transfer only the songs on my winamp playlist to this device. It's SD-based, so it would just be like transferring them to a folder. Is there a way to do this other than transferring them one at a time?