A warm welcome to Mac-Forums.
A lot depends on what you are intending to do with the Playlists.
In the first article below (first question about a third way down), it tells you how to copy a playlist and export it to a USB Stick. The usual purpose in doing this is to transfer the Playlists(s) to another Mac with iTunes.
Your need may be different??
I don't think you can play the music direct from the USB stick.
As regards formatting: if it is exclusively for transfer from Mac to Mac, then format the stick "OS X Extended (Journaled)" aka HFS+.
If you are transferring to a Windows PC, then FAT32 (File Allocation Table)
Read/Write FAT32 from both native Windows and native Mac OS
Maximum file size: 4GB
You can use this format if you share the drive between Mac OS X and Windows computers and have no files larger than 4GB
Articles to consider:
https://www.macworld.com/article/1165775/ipad/ask-the-itunes-guy-work-with-playlists.html
https://discussions.apple.com/thread/3631435
If these don't help you or if I've misunderstood your question or needs, post back.
Ian