Are you using mac or windows?

For mac osx all you need to do is connect your iPod & it will update with iTunes playlists however you do have an option to do it manually under iTunes file menu.

For windows it's the same. However, where LW is concerned, the LW playlist is purely a reference to the mp3's in your LW Downld folder. So you may need to add them 1st to iTunes own library before they can be imported into your iPod. You can open up your LW downld folder & drag & drop them into the iTunes application. iTunes will then add to its own library. LW's dwnld folder can be found: Tools>Options>Saving will tell you the name, location & path of this folder. Or if you have LW 4.2.x then you can go to your LW Library window & select Saved Files & then any file to the right of it & then press the Explore button. This will open the folder up for you. Some xtra hints here: iPod Tutorial (click on link) & also iTunes Tutorial