How can I build a custom URL structure using Playa fields as segments?
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We'd need a bit more detail about what you're trying to do to give a more specific answer, but I don't think you need to do anything special to do this. I've done it before. Having both parent and child url_titles in the URL and using each to load up the correct entries.
Really that doesn't have anything to do with Playa at all, except for when you want to ensure that the parent-child relationship in the URL really exists.
I've done this in the past by loading up the parent entry in a channel:entries tag and comparing the playa field's selected entry to the child entry in the URL. If they don't match, then throw a 404.