After a brief struggle with Automator (fixed thanks to inspiration from Leonard Lin's iTunes Opener), →here's an application← that will scan Webjay's New Playlists page, download each playlist and add it to iTunes' playlist window.
It will make iTunes' playlist window a bit full, unfortunately, because setting the parent property on a new playlist (i.e. trying to put the new playlist inside a folder) doesn't seem to work. Update: fixed in iTunes 6.0.2.
The Automator workflow is inside the application bundle, if you want to change anything.