If you're using OSX & you open up an os9 application which then forces OS9 to open, this is called the Classic environment. It is NOT a good idea to run LW in the Classic environment. Either use the OS9 version in OS9 startup or startup in OSX & use an OSX version. The Classic envt. is not very good really. I mean it is good but many apps don't run as well.
I wouldn't have a clue whether the preferences & download.dat files can be safely swapped between OS 9 & X. If you're going to try it, I'd suggest you back everything up, including your incompletes & dwnld.dat file. To be on the safe side. If you do try it, I'd be particularly interested to know the result. I jumped from using LW in OS 8.5 to OSX so I missed some of that type of experimentation. lol