Playlist menu -> Sort...
That will allow you to sort an existing playlist. If you want to sort files that you add to a playlist (for instance, by drag-and-drop), you'd want to look in "Preferences->Core->Sort incoming files by..." (in 0.9, this is in "Preferences->Core". A basic string which sorts by artist, album, tracknumber and title would be:
CODE
$if(%title%,$if2(%album artist%, %artist%) - %album% - $num(%tracknumber%,2) - %title%,%_filename_ext%)
(note this would have to be changed a little if you wanted to use it in 0.9)