On the Mac, under Preferences, there's a box that says something like "Allow iTunes to organise your music". If you untick this then iTunes just works on playlists, i.e. the playlist remembers all the locations of the files. To create a playlist I just create a new playlist in iTunes, highlight all the files in Finder* and then drag and drop them onto the new playlist.
* I think this might be called Explorer under Windows. Does Windows now do drag and drop properly? (Haven't used it since about 1999!)