Creating a playlist is a really easy, all you have to do is set the url parameter (first video to play) and then the playlist parameter.

Value is a comma-separated list of video IDs to play. If you specify a value, the first video that plays will be the VIDEO_ID specified in the url parameter, and the videos specified in the playlist parameter will play thereafter.

Shortcode parameters used:

url=http://youtu.be/WeLjzzTLT08 playlist=k2vkwy2vdP4,wciphH8ACYU

And the result is: