You could look here at the features page on the S&D website -->
http://www.sax-n-dotty.co.uk/features.htm
It doesn't exactly say you can create a song list (assuming you mean for songbook purposes), but I believe S&D uses Microsoft access for its database and I am sure you could take a copy of it and work with that or export to some other format such as *.xls or *.csv
As far as built in songbook capabilities - no, it does not have that.
I know there is a free Acess database converter available that will take the S&D database file and convert to a usable format for printing songbooks (also has several option types)...I would have to google around to see if I can find it again.