It's really easy to do this.
In the Action Window, choose Build Playlist, then Build New Smartlist.
In the box that opens up, give your new Smartlist a name, and optionally a group to put it in.
Then click the Advanced button.
Then, in the Smartlist rule box, click the little down arrow, and choose Genre.
Then just select the Genres you want to include from the list that pops up.