No yo don't need to encode them. You can add any type of audio file to iTUnes such as mp3, m4a, aiff, wav, etc, so long as iTunes recognises that format. You would normally only encode it if you have an aiff or wav file or a cd & which to encode them as mp3 or m4a, etc. or vice versa such as converting an mp3 to aiff. Adding files to iTunes does not require encoding unless that's what you want to do.

For apple: iTunes will not import all mp3 types; eg: ogg vorbis, rm files. (So I use Audion which is now free to play those.) Thus you may find some files you downlded are not within iTunes library. So you may wish to double-check them thru cross-referencing. Even if you disable iTunes auto-importing, if you manually add the songs to iTunes you will end up with 2 copies.

Only alternative I can think of is that you move these songs to a special folder, add them to iTunes ... but under iTunes preferences>Advanced you disable the option to copy the files to iTunes library when adding files. This way the files will stay where they are & there will be no 2nd copy. Later you could use the consolidate command to 'move' them to the iTunes music library if you wanted them all together but that'd be optional.

For windows: Well there is no auto-importing from LW. lol You need to add them. To add many at a time simply use the SHIFT key so you can select multiples in one go (after selecting Control & O keys.) You select the 1st song then hold the shift key & select the last on the list & all will be selected.