Here's a way to accomplish this, albeit a bit clumsy.
1) Create your playlist and set the order as desired.
2) Select the files, right-click, and select Library Tools > Convert Format
3) Set the options:
a) Convert to this directory (create and enter a new, empty directory)
b) Uncheck "And create [ ] levels of directory structure
c) Check "Leave original file; add destination file to library
d) Uncheck Skip conversion if original and destination are the same file type
4) Start the conversion and wait until it completes
5) Go to Playlists > Recently Imported
You should notice here that there is a list of recently imported files. Those that were just created during the conversion will be listed in the order of the conversion, which should be the playlist order.
6) Select those converted files (take note to be sure the file path directory is correct, that indeed these are the converted files).
7) Right-click > Library Tools > Rename, Move & Copy Files
a) Uncheck Directories
b) Check Filename and enter the rule:
PadNumber(CustomData(#),3) [Name] - [Artist]
c) Uncheck Find and Replace.
You should now see in the preview that the renames will add a sequence number to your converted tracks, allowing them to playback in the desired order.
After your transfer, you can delete from MC the tracks as shown in the playlist (select them, Shift-Delete, Remove from Media Library, and permanently delete from disk)
