There are two ideas that come to mind with this question:
Fairly self-explanatory. Tap the playlists icon on the bottom left hand side of the iPad's Music app (if under iOS 5), then choose
New in the top right hand, and you can browse through your library and add things to listen too.
When the song completes, you can go back to the playlist, tap on it, and then the first song in the list in order to start playback of the playlist in order.
- You can play an album in full, only if you select if from the 'Album' view.
Note that when you are in the full 'Songs' view, selecting a track will play all tracks after it in alphabetical / listed order. If you choose it from 'Album' view instead, the tracks will play back from that track forward in the album.