Not as I think you want to! iTunes is a real pain in that it does not like you exporting music. If you use File>Library>Export Playlist - which you'd think was exactly what you want - it exports a text document with the information, no sound at all. File>Burn Playlist to Disc may work but it insists on the disc being a CD, not a removable disc so you'd have to copy it from there to the USB stick.
If the playlist is not too long and doesn't contain lots of different artists, you could go to ~/Music/iTunes/iTunes Music where you will find a folder for each artist containing a folder for each of their albums. In there is the actual music you want. It can be dragged to the stick.
If you highlight every 'song' in a Playlist, you can drag the lot to the Desktop and thence to a USB stick. Whether that will play the songs independently of iTunes I don't know.
Thanks, Alan, your suggestion worked a treat. I wanted to copy tracks to a USB stick to play on my car radio and your suggestion has allowed me to do this. The media playing system on the car is Windows based so it was necessary to reformat my memory stick to a PC FAT system. However now I can play a vast number of tracks from my USB stick. I now have to work out how to sort them without driving into the back of the nearest juggernaut.
Lionel Ogden 