[Geoff Bacon]

Why do you want to highlight songs in a setlist? - a setlist is designed to be played in a certain order (unlike a collection which is typically sorted alphabetically).

Anyway, you can simply achieve what you want by creating a new setlist of the songs you are interested in as follows:

1. Long press the FIRST required song in the setlist (or collection) - this will be displayed with a check mark
   
2. Select the other songs you want in the desired play order
   
3. Press the 3 vertical dot (top right) on menu bar and "Create Setlist from Songs" - give the new set list an appropriate name so that you can locate it (and/or delete it when it is no longer required).
   

Stay safe
Geoff