With version 5.9 of CD Czar, you can now add directly to your Music Collection from a Yahoo! Music Engine playlist.  To work with CD Czar, each track in the tracklist of the Yahoo! playlist (or any xspf format playlist) must contain these tags:
<title>, <creator>, and <duration>.  Here is a sample of a xspf playlist.

You can download the Yahoo! Music Engine for free.