Great idea. I tried. Doesn't work. I connected the gear to the computer using the charging cradle, which (on Win 7) lets you see the Gear as a device. I then dragged a folder containing mp3 files into the Music folder on the Gear. The Music Player sees all the songs, including those in the sub-folder, but displays them simply as one long alphabetical list. No folders. No playlist. No joy.
To the other poster, as soon as I find the slot for the SD card on the Samsung Gear 2, I'll give your method a try.