To create a playlist follow these steps:
- Go to the Music section of the XMB
- Click Playlists
- Click Create New Playlist
- Name your Playlist
- Go to your new created Playlist and press triangle and then Edit
- Find the album you would like and select all the songs by pressing X
- Press Circle to exit Edit mode
- Load GT5 up
- Go to Audio settings
- Select User BGM
- Now select your named Playlist
- Select Play Mode and set to Repeat Folder and click X
- Now select the top track
- Go back to the Audio settings menu
- Click Enable User BGM (Race)
This worked for me. So fingers crossed for all you