Having the songs in the playlist isn't the final step; you also need to arrange the songs in the order you prefer. You have two choices for this: manually or using the built-in sorting options.
To arrange the songs manually, just drag and drop the songs into whatever order you want them.
You can also sort them using criteria like name, time, artist, rating, and plays. To do this, click the Sort by menu and select your choice from the drop down.
When you're finished sorting, click Done to save the playlist.
With the songs in just the right order, now it's time to listen to the playlist. Double click the first song, or single click it and click the play button in the top left corner of the iTunes window. You can also shuffle songs within the playlist by clicking the shuffle button (it looks like to arrows crossing over each other) near the top of the window next to the playlist's name and then hitting play.