I use Celluloid for this. There's a playlist sidebar, and you can save the playlist as well.
The interface is not particularly optimized for music, but it works quite all right.
Well, yes, I was wrong, I have just checked, it really works as you said, I just haven't used for a long time. Actually, celluloid is just the graphical wrapper that makes mpv look like a common simple video player, just more user friendly.