So, I think I got this. Not perfect, but it works pretty well:
1. Place the Cowon X9 device in "MSC" mode (as opposed to "MTP" mode, which allows for the manual creation of .pla lists).
2. Plug in the device and open JRiver
3. On the lefthand navigation pane, right-click on "Playlists" and select "Add New Playlist"
4. Name the list whatever you would like
5. make sure the new playlist appears in the bottom action window of the navigation pane
6. Now, still in the left hand navigation pane, click on "Drives & Devices" and find your Cowon device. In my case "H:"
7. In the main window, select the items you want in your playlist and drag and drop them to the action window
8. In the left hand navigation pane, select "Playlists" again
9. Right-Click on the desired playlist and select "Export..."
10. Make sure to select "M3U playlist (Extended)" and save the playlist to some location (Desktop, My Documents, whatever)
11 In Windows Explorer, drag and drop the .M3U file to the ROOT of your Cowon Device.
When you dismount the device and power it on, the playlist should appear in the playlists folder. Like I said, not perfect, but better than browsing folder by folder on the device in MTP mode, only to lose every playlist evertime you want to add new media.
One main Caveat: I have a micro SD card and I have not yet found a way to create cross-drive playlists. Still working on that.