This article explains how Pandora Premium subscribers can create a custom playlist in the Pandora app or on the Pandora website.
Pandora ~ How to Create a Playlist on iPhone
As Pandora learns your preferences, it refines its selection of tracks to match what you like to hear. If you want more control over which songs play, learn how to create a playlist on Pandora. Pandora playlists let you organize songs or entire albums into a personalized list that plays in the order you specify. Playlist functionality is only available to Pandora Premium subscribers.
Here's how to create a custom playlist in the Pandora app for Android and iOS devices:
Open the Pandora app and tap the My Collection tab if it's not already active.