You can add game clips from a tagged game and your own custom created clips to a playlist that can be shared. You can also create highlights later from the saved playlists.
To pull clips from an unlogged game, you can use the
Clip Creator.
Adding Clips From a Game Editor
To add clips from the system clips, you can either click on any of the Play button under Playlist or any stat that is highlighted blue to bring up the clips.

On the clips page, select the clips you want to add and click on the "More Action" button. Press the "Save to Playlist" button to add the selected clips to the Playlist.