This drag and drop functionality isn't something I've ever tried. As such, I don't expect that it has any options that can be used with it, since it has no interface.
I would do this with the Rename, Move, and Copy files tool:
Highlight the songs in the playlist > Right click > Library tools > rename, move, and copy files.
In the RM&C dialog you'll want to choose at least these options:
Mode: Copy
Directory: (checked) Choose the directory to export to
filename: (checked) Type in an expression here. This is the key to having it number your files in order. One expression that would work is:
customdata(#)_[Name]
That will prefix the name of the song with it's numerical position in the playlist.
RM&C is a big powerful tool. It might take some experimentation, but I'm certain it will work. Wiki here:
http://wiki.jriver.com/index.php/Rename,_Move,_and_Copy_FilesGood luck!
Brian.