Relative newbie to plex -how to download a playlist to a memory stick?

When I had all my music & audiobooks in iTunes I download playlists to a memory stick so that I could play them in the car. (using iSyncer). How do I do this now I have moved over to Plex?

(Car doesn’t have Bluetooth so I need to get listening on to a memory stick)

Thanks
Ian.

Plex does not offer such a feature.

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