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I think this can be done now. Tap edit at the top of the page, add the song, return to the set list, tap the song in the setlist. If in performance mode with 'load all songs' selected you need to go back one step to the list, before loading. You can also tap the funnel 'search' function which seems to work in both performance and overlay modes. Having 'load all songs' complicates things by adding a couple of steps. 
You may be asking to do this with all the songs loaded without all of the intervening steps of course.