Go to music, then to playlist you want to add the song to. There's an edit button, click on that. Then the "'+" tab. This should bring you to all your purchased music. You are allowed to add more than one song at this time.
Plug your iPhone into your computer and click on the new song then drag it to the playlist on the computer that is for your iPhone. After you finish moving the songs over you have to sync them to your iPhone.