How are you adding these albums to your library? Are you ripping CDs, or are you adding them as pre-ripped files (i.e. mp3, AAC)?
If you're adding them to your library by dragging and dropping a group of files to your library, this can create a playlist if you happen to drop the files into the left column of iTunes. The songs will still be added to your library, but there will also be a playlist of the songs.
If you're ripping CDs and getting a playlist for the albums, that is odd behavior.
But in either case, the songs are always in your library even if they're also in a playlist. In other words, songs cannot exist in a playlist but not be in your library. So just delete the playlists that get created.