This is my favorite feature of the service (Spotify has this, as well). The best part is you can pin a playlist and it auto-updates when you add songs. When I'm going out of the country I'll create a 'Trip to XX' playlist, pin it, and then over the days/weeks leading up to the trip add things to it. The app auto-downloads as you do so.
It also does it across devices! I have a crappy old smartphone w/o a sim card that I use for running, and have a running playlist pinned to it.
I can be listening at work, add a song to the playlist, and then back at home the device automatically downloads the new song over wifi for when I go running. (I'm sure spotify does this too)