[Here's][1] a handy AppleScript for anyone who occasionally needs to collect all the files of a given playlist into one folder. The only silly requirement is that a track in the playlist must be playing while it's run (it's the only way I found how to refer to a “selected” playlist).

So just play a song in the list, run the script and it will prompt you for a destination into which it'll create a folder named after the playlist and copy all the files into it.

tell application "iTunes"
	set dst to choose folder
	set thePlaylist to current playlist
	set folderName to (name of thePlaylist as string)
	set dst to quoted form of (POSIX path of dst & "/" & folderName)
	do shell script "mkdir " & dst
	repeat with t in every file track of thePlaylist
		set loc to location of t
		set src to (quoted form of POSIX path of loc)
		do shell script "cp " & src & " " & dst
	end repeat
	do shell script "open " & dst
end tell

You can run the script from anywhere you like, but I prefer to keep it in ~/Library/iTunes/Scripts with the name “Collect Playlist”. [1]: /tmp/Collect_Playlist.zip