You may not be moving the icon far enough over into the playlist window. I'm not sure without being able to see it. You might want to experiment with some different ways of building playlists though:
1. Using the right click context menu can do Send to > Playlist > Playlistnamehere . Once you've done that one time, the playlistnamehere will appear at the top of the context menu, so it's a much shorter menu path, making it easy to do this again and again with new songs.
2. Try using split views. View > Split View > Show 2 views . Now you can have your browsing window in one split and your playlist (full sized) in another split. Dragging and dropping between them should be easier.
3. Tabs. Open a tab with your browsing view. Open a second tab with your playlist showing. In the browsing view, find some songs and highlight, then <command>c (or edit > copy). Switch to your playlist tab and <command>v (or edit > paste). You can click in the playlist before doing the paste and it will paste right where your cursor is.
This is MC and there are usually several ways to get the job done. Hopefully one of these will work well for you.
Brian.