Does this happen when you drag a song from your library into a new playlist or when you drag a song from outside iTunes and drop it in? If you have “Copy files to iTunes music folder when adding to library” checked in the Advanced tab in the Preferences window, it will always make a new copy in you iTunes folder for you. Otherwise, I haven’t been able to duplicate the problem by dragging a song from my library into a new playlist with the current version of iTunes.