Hello. Thank you for responding so quickly. The playlists and the podcast subscriptions are 2 different things. Sure, I could open a podcast, add ALL of the shows to a playlist, then save the playlist. And then do that for every single show I am subscribed to. But that is not what I was looking for.
Just like in iTunes, VLC player can subscribe to podcasts. I could click on a specific show, open all the episodes and click one to play. You have that tutorial on this site here http://ccm.net/faq/9857-vlc-subscribe-to-podcasts
But somehow I recently lost all my subscriptions. and then, when I would add them back and close vlc player and reopen, they would all be gone again.
Anywhoooo... I just updated VLC player and restarted and it seems to be working now.
Lesson learned.... I am now saving all my podcast rss feeds/subscriptions in a separate file in case it happens again :-/