Oh forgot to mention that if your media links are files on the device, you can also choose 'Generate playlist' from the menu and choose 'Directory Media Scanner', select the folder that has the files.
KMPlayer will then start playing on the first item. Either copy one by one or select the top item 'Directory media Scanner' and then 'Playlist Options' from the menu, followed by 'Export as m3u'. After that, open this m3u file and copy the top link to favorites.