You have to drag and drop to playlists on the iPod itself.
In manual mode notice that there is now an arrow next to your iPod. Clicking on it will show the playlists on the iPod. This is where new playlists you make need to be. Here you should be able to drag songs from the iPod library to these songs. You will not be able to drag these songs to playlists in iTunes.
The iPod must be selected while doing this.