Ok, so I found out what I was doing wrong:
To make this work you need to use MSC mode instead of MTP. In MSC mode Winamp views the player as a USB drive instead of as a Sansa Clip+. In winamp you then need to right click the drive and chose preferences. Here you can tell winamp where (and in what format) it should put your music and playlists on the drive (This is not possible in MTP mode). You can also tell it how you want to sync your podcasts. Now when winamp syncs the podcasts it will add a playlist to the drive with all the podcasts. Winamp also does this in MTP mode, but when in MSC mode the playlist is now in .m3u format (which can be read by Rockbox) and not .pla format (which can not).