AFAIK, there's no way to do that in iTunes. Write to Apple that you request this as a feature. Kind of: On-the-go playlist for iTunes or something. I guess it's just that you're used to this feature from the other app, but iTunes never really thought of working this way... There are, of course, tons of other ways to listen to your music in iTunes. (Smart playlists are really fun, btw.) 
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