Apparently all that griping I did yesterday about the Zune not supporting Smart Playlists was a bit unfounded. At first I thought the Auto Playlists were only for syncing—since I couldn't find it, plus that's what Microsoft's been telling me—but then found (by clicking around some more) that you can create them for playlist management as well.
Not to bore you with the specifics, but you have to right click on the Playlists menu, then choose create "Auto Playlist". Why this wasn't a top menu option—the regular "Create Playlist is"—is unknown to me. That would have saved me a whole lot of trouble, not to mention egg on my face. Mmmm eggs.
Thanks to Woody for pointing this out!